相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。ESTIMATING THE QUADRATIC COVARIATION MATRIX FROM NOISY OBSERVATIONS: LOCAL METHOD OF MOMENTS AND EFFICIENCY
Markus Bibinger et al.
ANNALS OF STATISTICS (2014)
Statistical analysis of big data on pharmacogenomics
Jianqing Fan et al.
ADVANCED DRUG DELIVERY REVIEWS (2013)
OPTIMAL SPARSE VOLATILITY MATRIX ESTIMATION FOR HIGH-DIMENSIONAL ITO PROCESSES WITH MEASUREMENT ERRORS
Minjing Tao et al.
ANNALS OF STATISTICS (2013)
Large covariance estimation by thresholding principal orthogonal complements
Jianqing Fan et al.
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2013)
FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
Minjing Tao et al.
ECONOMETRIC THEORY (2013)
NONLINEAR SHRINKAGE ESTIMATION OF LARGE-DIMENSIONAL COVARIANCE MATRICES
Olivier Ledoit et al.
ANNALS OF STATISTICS (2012)
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Jianqing Fan et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2012)
Vast Portfolio Selection With Gross-Exposure Constraints
Jianqing Fan et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2012)
HIGH-DIMENSIONAL COVARIANCE MATRIX ESTIMATION IN APPROXIMATE FACTOR MODELS
Jianqing Fan et al.
ANNALS OF STATISTICS (2011)
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Ole E. Barndorff-Nielsen et al.
JOURNAL OF ECONOMETRICS (2011)
Estimating covariation: Epps effect, microstructure noise
Lan Zhang
JOURNAL OF ECONOMETRICS (2011)
Adaptive Thresholding for Sparse Covariance Matrix Estimation
Tony Cai et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2011)
A Constrained l1 Minimization Approach to Sparse Precision Matrix Estimation
Tony Cai et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2011)
VAST VOLATILITY MATRIX ESTIMATION FOR HIGH-FREQUENCY FINANCIAL DATA
Yazhen Wang et al.
ANNALS OF STATISTICS (2010)
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Kim Christensen et al.
JOURNAL OF ECONOMETRICS (2010)
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Yacine Ait-Sahalia et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2010)
Regularized estimation of large covariance matrices
Peter J. Bickel et al.
ANNALS OF STATISTICS (2008)
COVARIANCE REGULARIZATION BY THRESHOLDING
Peter J. Bickel et al.
ANNALS OF STATISTICS (2008)
High dimensional covariance matrix estimation using a factor model
Jianqing Fan et al.
JOURNAL OF ECONOMETRICS (2008)
ANOVA for diffusions and Ito processes
Per Aslak Mykland et al.
ANNALS OF STATISTICS (2006)
A well-conditioned estimator for large-dimensional covariance matrices
O Ledoit et al.
JOURNAL OF MULTIVARIATE ANALYSIS (2004)
Honey, I shrunk the sample covariance matrix - Problems in mean-variance optimization.
O Ledoit et al.
JOURNAL OF PORTFOLIO MANAGEMENT (2004)
Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics
OE Barndorff-Nielsen et al.
ECONOMETRICA (2004)
Risk reduction in large portfolios: Why imposing the wrong constraints helps
R Jagannathan et al.
JOURNAL OF FINANCE (2003)
Inferential theory for factor models of large dimensions.
J Bai
ECONOMETRICA (2003)
Forecasting using principal components from a large number of predictors
JH Stock et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2002)
Determining the number of factors in approximate factor models
JS Bai et al.
ECONOMETRICA (2002)
Variable selection via nonconcave penalized likelihood and its oracle properties
JQ Fan et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2001)
The distribution of realized exchange rate volatility
TG Andersen et al.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2001)