Large-dimensional covariance matrix estimation and its application with RCM using high frequency data

NI Xuanming, QIAN Long, ZHAO Huimin, HUANG Song

Systems Engineering - Theory & Practice ›› 2019, Vol. 39 ›› Issue (8) : 1943-1953.

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Systems Engineering - Theory & Practice ›› 2019, Vol. 39 ›› Issue (8) : 1943-1953. DOI: 10.12011/1000-6788-2019-0301-11

Large-dimensional covariance matrix estimation and its application with RCM using high frequency data

  • NI Xuanming1, QIAN Long1, ZHAO Huimin2, HUANG Song1
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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2019, 39(8): 1943-1953 https://doi.org/10.12011/1000-6788-2019-0301-11

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