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Search: subject:"Volatility matrix"
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Estimation theory
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Estimation of high-dimensional volatility matrices with dynamic conditional correlation-embedded mixed factor structures
Dai, Runyu
;
Matsuda, Yasumasa
-
2026
Persistent link: https://www.econbiz.de/10015641735
Saved in:
2
Factor overnight GARCH-Itô models
Kim, Donggyu
;
Oh, Minseog
;
Song, Xinyu
;
Wang, Yazhen
- In:
Journal of financial econometrics
22
(
2024
)
5
,
pp. 1209-1235
Persistent link: https://www.econbiz.de/10015338787
Saved in:
3
Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Dai, Runyu
;
Matsuda, Yasumasa
-
2023
Persistent link: https://www.econbiz.de/10014310363
Saved in:
4
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
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