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A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
Chen, Jia
;
Li, Degui
;
Linton, Oliver
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2018
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version: October 24, 2018
Persistent link: https://www.econbiz.de/10012671372
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Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
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2021
Persistent link: https://www.econbiz.de/10013259517
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3
Estimating time-varying networks for high-dimensional time series
Chen, Jia
;
Li, Degui
;
Li, Yuning
;
Linton, Oliver
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2022
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Version: December 13, 2022
Persistent link: https://www.econbiz.de/10013503856
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