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20182026
most citedRealized range-based estimation of integrated variance

251 citations · 582 across the 19 of their papers we have counts for

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econ.EM2021★ 5 cited

High-dimensional estimation of quadratic variation based on penalized realized variance

Kim Christensen, Mikkel Slot Nielsen, Mark Podolskij

In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic variation (QV) of a high-dimensional continuous Itô semimartingale. We adapt the principle…