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On the estimation of high-dimensional integrated covariance matrix based
  on high-frequency data with multiple transactions
v1v2 (latest)

On the estimation of high-dimensional integrated covariance matrix based on high-frequency data with multiple transactions

Statistica sinica (Stat. Sinica), 2019
23 August 2019
Moming Wang
Ningning Xia
You Zhou
ArXiv (abs)PDFHTML

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