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"High-Dimensional Volatility Matrix Estimation with Cross-Sectional ..."
Wanwan Liang et al. (2023)
- Wanwan Liang, Ben Wu, Xinyan Fan, Bingyi Jing, Bo Zhang:
High-Dimensional Volatility Matrix Estimation with Cross-Sectional Dependent and Heavy-Tailed Microstructural Noise. J. Syst. Sci. Complex. 36(5): 2125-2154 (2023)
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