Open AccessOn the Estimation of High-Dimensional Integrated Covariance Matrix Based on High-Frequency Data With Multiple Transactions
Author(s) -
Moming Wang,
Jianhua Hu,
Ningning Xia,
Yong Zhou
Publication title -
statistica sinica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.24
H-Index - 77
eISSN - 1996-8507
pISSN - 1017-0405
DOI - 10.5705/ss.202022.0259
Subject(s) - estimation of covariance matrices , covariance matrix , estimation , covariance , computer science , matrix (chemical analysis) , mathematics , statistics , algorithm , economics , materials science , management , composite material