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

Research output

Research output per year 2021 2021 2023 2023

• 2 Article

Research output per year

Research output per year

Search results

• 2023

  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
• 2021

  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