High-Dimensional Volatility Matrix Estimation with Cross-Sectional Dependent and Heavy-Tailed Microstructural Noise

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. Systems Science & Complexity, 36(5):2125-2154, October 2023. [doi]

Abstract

Abstract is missing.