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]
@article{LiangWFJZ23,
title = {High-Dimensional Volatility Matrix Estimation with Cross-Sectional Dependent and Heavy-Tailed Microstructural Noise},
author = {Wanwan Liang and Ben Wu and Xinyan Fan and Bingyi Jing and Bo Zhang},
year = {2023},
month = {October},
doi = {10.1007/s11424-023-2080-5},
url = {https://doi.org/10.1007/s11424-023-2080-5},
researchr = {https://researchr.org/publication/LiangWFJZ23},
cites = {0},
citedby = {0},
journal = {J. Systems Science & Complexity},
volume = {36},
number = {5},
pages = {2125-2154},
}