Adaptive robust large volatility matrix estimation based on high-frequency financial data
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Title
Adaptive robust large volatility matrix estimation based on high-frequency financial data
Authors
Keywords
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Journal
Journal of Econometrics
Volume 237, Issue 1, Pages 105514
Publisher
Elsevier BV
Online
2023-09-09
DOI
10.1016/j.jeconom.2023.105514
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