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

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

Journal of Systems Science & Complexity ›› 2023, Vol. 36 ›› Issue (5) : 2125-2154.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science & Complexity ›› 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

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Complexity, 2023, 36(5): 2125-2154 https://doi.org/10.1007/s11424-023-2080-5

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