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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 |
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