Browse "MT-Journal Papers(저널논문)" by Subject Pre-averaging realized volatility
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| Adaptive Thresholding for Large Volatility Matrix Estimation Based on High-Frequency Financial Data Kim, Donggyu; Kong, Xin-Bing; Li, Cui-Xia; Wnag, Yazhen, JOURNAL OF ECONOMETRICS, v.203, no.1, pp.69 - 79, 2018-03 |
| Asymptotic theory for large volatility matrix estimation based on high-frequency financial data Kim, Donggyu; Wang, Yazhen; Zou, Jian, STOCHASTIC PROCESSES AND THEIR APPLICATIONS, v.126, no.11, pp.3527 - 3577, 2016-11 |
| Sparse PCA-based on high-dimensional Ito processes with measurement errors Kim, Donggyu; Wang, Yazhen, JOURNAL OF MULTIVARIATE ANALYSIS, v.152, pp.172 - 189, 2016-12 |
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