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Adaptive robust large volatility matrix estimation based on high-frequency financial data Shin, Minseok; Kim, Donggyu; Fan, Jianqing, JOURNAL OF ECONOMETRICS, v.237, no.1, 2023-11 |
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 |
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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