Asymptotic theory for large volatility matrix estimation based on high-frequency financial data

By Donggyu Kim, Yazhen Wang, Jian Zou. 2016

59 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a2767d7dca33efb244a2d1d8f7ffa18403c186c1

Citations in the corpus

• Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (2019, unknown): “With respect to the microstructure noises, following (Kim et al., 2016), we assume Assumption 4.”