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FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA. (2013). Chen, Xiaohong ; Tao, Minjing ; Wang, Yazhen.
In: Econometric Theory.
RePEc:cup:etheor:v:29:y:2013:i:04:p:838-856_00.

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  1. Performance of crypto-Forex portfolios based on intraday data. (2024). Lopez, Raquel ; Esparcia, Carlos.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000096.

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  2. Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency. (2022). Wang, Yazhen ; Song, Xinyu ; Kim, Donggyu.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x22000860.

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  3. State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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  4. Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. (2021). Linton, O ; Chen, J ; Li, Y-N., .
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:2150.

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  5. Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog.
    In: Papers.
    RePEc:arx:papers:2111.09655.

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  6. Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu.
    In: Papers.
    RePEc:arx:papers:2102.13467.

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  7. High-dimensional minimum variance portfolio estimation based on high-frequency data. (2020). Zheng, Xinghua ; Li, Yingying ; Hu, Jianchang ; Cai, Tony T.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:214:y:2020:i:2:p:482-494.

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  8. Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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  9. Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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  10. Large-dimensional factor modeling based on high-frequency observations. (2019). Pelger, Markus.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:23-42.

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  11. Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu.
    In: Papers.
    RePEc:arx:papers:1907.01196.

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  12. A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Feng, Phoenix ; Lam, Clifford.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:88375.

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  13. A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Lam, Clifford ; Feng, Phoenix.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:206:y:2018:i:1:p:226-257.

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  14. Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Li, Cui-Xia ; Kong, Xin-Bing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:203:y:2018:i:1:p:69-79.

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  15. Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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  16. Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. (2016). Zou, Jian ; Kim, Donggyu ; Wang, Yazhen.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:126:y:2016:i:11:p:3527-3577.

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  17. Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189.

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  18. Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data. (2016). Kim, Donggyu ; Wang, Yazhen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:220-230.

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  19. Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data. (2016). Kim, Donggyu.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:37:y:2016:i:4:p:513-532.

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  20. Principal Component Analysis of High Frequency Data. (2015). Ait-Sahalia, Yacine ; Xiu, Dacheng.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21584.

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  21. A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. (2014). Liu, Cheng ; Tang, Cheng Yong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:2:p:217-232.

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