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]

Authors

Wanwan Liang

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Ben Wu

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Xinyan Fan

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Bingyi Jing

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Bo Zhang

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