Volatility Matrix Estimation for High-Frequency Financial Data
A Dissertation submitted to the Department of Statistics in partial fulfillment of the requirements for the degree of Doctor of Philosophy. === Spring Semester 2018. === April 17, 2018. === Factor Model, High-frequency data, Jumps, Market microstructure noise, PCA, Volatility matrix === Includes bib...
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| Online Access: | http://purl.flvc.org//fd/2018_Sp_Xue_fsu_0071E_14471 |