On the systematic and idiosyncratic volatility with large panel high-frequency data
Author:
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://projecteuclid.org/download/pdfview_1/euclid.aos/1525313076
Cited by 24 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Distributed debiased estimation of high-dimensional partially linear models with jumps;Computational Statistics & Data Analysis;2024-03
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3. Efficient estimation for nonparametric spatio-temporal models with nonparametric autocorrelated errors ⋆;Communications in Statistics - Simulation and Computation;2023-12-28
4. Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility;Journal of Time Series Analysis;2023-12-19
5. Factor Overnight GARCH-Itô Models;Journal of Financial Econometrics;2023-12-19
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