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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 |
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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