Showing results 1 to 3 of 3
Title | Author(s) | Issue Date | |
---|---|---|---|
Forecasting high-dimensional realized volatility matrices using a factor model Journal:Quantitative Finance | 2018 | ||
On a spiked model for large volatility matrix estimation from noisy high-frequency data Journal:Computational Statistics & Data Analysis | 2018 | ||
On the surprising explanatory power of higher realized moments in practice Journal:Statistics and its Interface | 2018 |