Keren Shen, Jianfeng Yao, Wai Keung Li. On a spiked model for large volatility matrix estimation from noisy high-frequency data. Computational Statistics & Data Analysis, 131:207-221, 2019. [doi]
@article{ShenYL19,
title = {On a spiked model for large volatility matrix estimation from noisy high-frequency data},
author = {Keren Shen and Jianfeng Yao and Wai Keung Li},
year = {2019},
doi = {10.1016/j.csda.2018.06.004},
url = {https://doi.org/10.1016/j.csda.2018.06.004},
researchr = {https://researchr.org/publication/ShenYL19},
cites = {0},
citedby = {0},
journal = {Computational Statistics & Data Analysis},
volume = {131},
pages = {207-221},
}