Modelling Large Spot Volatility Structure for High Frequency Data: New Methodology and Practice

Li, Degui (Principal investigator)

Mathematics

Project: Research project (funded) › Research

Status	Finished
Effective start/end date	1/07/20 → 30/08/22

Funding

THE BRITISH ACADEMY: £9,507.00

2 Article

Detection of Multiple Structural Breaks in Large Covariance Matrices
Li, Y.-N., Li, D. & Fryzlewicz, P., 13 Jun 2023, In: Journal of Business and Economic Statistics. 41, 3, p. 846-861 16 p.
Research output: Contribution to journal › Article › peer-review

Open Access
File
Nonparametric Estimation of Large Covariance Matrices with Conditional Sparsity
Wang, H., Peng, B., Li, D. & Leng, C., Jul 2021, In: Journal of Econometrics. 223, 1, p. 53-72 20 p.
Research output: Contribution to journal › Article › peer-review

Open Access
File