"On a spiked model for large volatility matrix estimation from noisy ..."

Keren Shen, Jianfeng Yao, Wai Keung Li (2019)

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DOI: 10.1016/J.CSDA.2018.06.004

access: closed

type: Journal Article

metadata version: 2020-02-18

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Keren Shen, Jianfeng Yao, Wai Keung Li:
On a spiked model for large volatility matrix estimation from noisy high-frequency data. Comput. Stat. Data Anal. 131: 207-221 (2019)

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