Browse "MT-Journal Papers(저널논문)" by Subject Pre-averaging
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| Adaptive robust large volatility matrix estimation based on high-frequency financial data Shin, Minseok; Kim, Donggyu; Fan, Jianqing, JOURNAL OF ECONOMETRICS, v.237, no.1, 2023-11 |
| Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model Fan, Jianqing; Kim, Donggyu, JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, v.113, no.523, pp.1268 - 1283, 2018-11 |
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