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

2 citations · 2 across the 1 of their papers we have counts for

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math.ST2019★ 2 cited

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

Moming Wang, Ningning Xia, You Zhou

Due to the mechanism of recording, the presence of multiple transactions at each recording time becomes a common feature for high-frequency data in financial market. Using random m…