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Factor-adjusted regularized model selection
Fan, Jianqing; Ke, Yuan; Wang, Kaizheng - In: Journal of econometrics 216 (2020) 1, pp. 71-85
Persistent link: https://www.econbiz.de/10012439637
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Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing; Kim, Donggyu - In: Journal of econometrics 209 (2019) 1, pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10012145042