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Principal Component Analysis of High Frequency Data. (2015). Xiu, Dacheng ; Ait-Sahalia, Yacine.
In: NBER Working Papers.
RePEc:nbr:nberwo:21584.

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  1. Confidence regions for entries of a large precision matrix. (2018). Qiu, Yumou ; Zou, Tao ; Yao, Qiwei ; Chang, Jinyuan.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:87513.

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  2. Confidence regions for entries of a large precision matrix. (2018). Qiu, Yumou ; Zou, Tao ; Yao, Qiwei ; Chang, Jinyuan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:206:y:2018:i:1:p:57-82.

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  3. An overview of the estimation of large covariance and precision matrices. (2016). Liao, Yuan ; Fan, Jianqing ; Liu, Han.
    In: Econometrics Journal.
    RePEc:wly:emjrnl:v:19:y:2016:i:1:p:c1-c32.

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  4. Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2016). Yamamoto, Yohei.
    In: Discussion paper series.
    RePEc:hit:hiasdp:hias-e-4.

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  5. Inference theory for volatility functional dependencies. (2016). Tauchen, George ; Todorov, Viktor ; Li, Jia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:1:p:17-34.

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  6. Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). .
    In: Discussion paper series.
    RePEc:hit:hiasdp:2015-04.

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  44. Cross-sectional dependence in idiosyncratic volatility. (2015). Kalnina, Ilze ; Tewou, Kokouvi.
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  45. The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Sato, Seisho ; Kunitomo, Naoto ; Misaki, Hiroumi .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:22:y:2015:i:3:p:333-368.

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  46. Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). .
    In: Discussion paper series.
    RePEc:hit:hiasdp:2015-04.

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  47. Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). Yamamoto, Yohei.
    In: Discussion Papers.
    RePEc:hit:econdp:2015-05.

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  48. Superposition of COGARCH processes. (2015). Kluppelberg, Claudia ; Chong, Carsten ; Behme, Anita.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:4:p:1426-1469.

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  49. Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes. (2015). Patton, Andrew ; Liu, Lily ; Sheppard, Kevin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:1:p:293-311.

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  50. Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise. (2014). Fang, Yue ; Zhao, Xujie ; Yu, Chao ; Zhang, BO.
    In: MPRA Paper.
    RePEc:pra:mprapa:63293.

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