基于截面相关和重尾微结构噪声的高维波动矩阵估计

{"title":"基于截面相关和重尾微结构噪声的高维波动矩阵估计","authors":"Wanwan Liang, Ben Wu, Xinyan Fan, Bingyi Jing, Bo Zhang","doi":"10.1007/s11424-023-2080-5","DOIUrl":null,"url":null,"abstract":"","PeriodicalId":50026,"journal":{"name":"Journal of Systems Science & Complexity","volume":"123 1","pages":"0"},"PeriodicalIF":2.6000,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"High-Dimensional Volatility Matrix Estimation with Cross-Sectional Dependent and Heavy-Tailed Microstructural Noise\",\"authors\":\"Wanwan Liang, Ben Wu, Xinyan Fan, Bingyi Jing, Bo Zhang\",\"doi\":\"10.1007/s11424-023-2080-5\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\",\"PeriodicalId\":50026,\"journal\":{\"name\":\"Journal of Systems Science & Complexity\",\"volume\":\"123 1\",\"pages\":\"0\"},\"PeriodicalIF\":2.6000,\"publicationDate\":\"2023-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Systems Science & Complexity\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1007/s11424-023-2080-5\",\"RegionNum\":3,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Systems Science & Complexity","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s11424-023-2080-5","RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS","Score":null,"Total":0}