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

LIANG Wanwan, WU Ben, FAN Xinyan, JING Bingyi, ZHANG Bo

系统科学与复杂性(英文) ›› 2023, Vol. 36 ›› Issue (5) : 2125-2154.

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系统科学与复杂性(英文) ›› 2023, Vol. 36 ›› Issue (5) : 2125-2154. DOI: 10.1007/s11424-023-2080-5

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

    LIANG Wanwan1, WU Ben1, FAN Xinyan1, JING Bingyi2, ZHANG Bo1
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High-Dimensional Volatility Matrix Estimation with Cross-Sectional Dependent and Heavy-Tailed Microstructural Noise

    LIANG Wanwan1, WU Ben1, FAN Xinyan1, JING Bingyi2, ZHANG Bo1
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{{article.zuoZheCn_L}}. {{article.title_cn}}. {{journal.qiKanMingCheng_CN}}, 2023, 36(5): 2125-2154 https://doi.org/10.1007/s11424-023-2080-5
{{article.zuoZheEn_L}}. {{article.title_en}}. {{journal.qiKanMingCheng_EN}}, 2023, 36(5): 2125-2154 https://doi.org/10.1007/s11424-023-2080-5
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