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Large Volatility Matrix Estimation with Factor-Based Diffusion Model for High-Frequency Financial data Kim, Donggyu; Liu, Yi; Wang, Yazhen, BERNOULLI, v.24, no.4B, pp.3657 - 3682, 2018-11 |
Structured volatility matrix estimation for non-synchronized high-frequency financial data Fan, Jianqing; Kim, Donggyu, JOURNAL OF ECONOMETRICS, v.209, no.1, pp.61 - 78, 2019-03 |
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