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20182020
most citedUnified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency

3 citations · 3 across the 1 of their papers we have counts for

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stat.AP2019

Large Volatility Matrix Prediction with High-Frequency Data

Xinyu Song

We provide a novel method for large volatility matrix prediction with high-frequency data by applying eigen-decomposition to daily realized volatility matrix estimators and capturi…