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Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data Journal article
RANDOM MATRICES-THEORY AND APPLICATIONS, 2018,Volume: 7,Issue: 3
Authors:  Liu, Zhi;  Xia, Xiaochao;  Zhou, Guoliang
Favorite | View/Download:15/0 | TC[WOS]:0 TC[Scopus]:1 | Submit date:2018/10/30
High-frequency Data  Volatility Estimation  Microstructure Noise