A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data
- Liyuan Cui ,
Liyuan Cui
[email protected]https://orcid.org/0000-0002-7236-0684
Department of Economics and Finance, City University of Hong Kong, Hong Kong SAR;
- Yongmiao Hong ,
Corresponding Author
Yongmiao Hong
[email protected]https://orcid.org/0000-0002-9711-9061
Center for Forecasting Science, Chinese Academy of Sciences, Beijing 100045, China;School of Economics and Management, and MOE Social Science Laboratory of Digital Economic Forecasts and Policy Simulation, University of Chinese Academy of Sciences, Beijing 100190, China;Department of Economics, Cornell University, Ithaca, New York 14850;
- Yingxing Li ,
Yingxing Li
[email protected]https://orcid.org/0000-0002-1634-9253
Wang Yanan Institute of Studies in Economics, Xiamen University, Fujian 361005, China;
- Junhui Wang
Junhui Wang
[email protected]https://orcid.org/0000-0002-9165-5664
Department of Statistics, Chinese University of Hong Kong, Hong Kong SAR
Liyuan Cui
[email protected]https://orcid.org/0000-0002-7236-0684
Department of Economics and Finance, City University of Hong Kong, Hong Kong SAR;
Corresponding Author
Yongmiao Hong
[email protected]https://orcid.org/0000-0002-9711-9061
Center for Forecasting Science, Chinese Academy of Sciences, Beijing 100045, China;School of Economics and Management, and MOE Social Science Laboratory of Digital Economic Forecasts and Policy Simulation, University of Chinese Academy of Sciences, Beijing 100190, China;Department of Economics, Cornell University, Ithaca, New York 14850;
Yingxing Li
[email protected]https://orcid.org/0000-0002-1634-9253
Wang Yanan Institute of Studies in Economics, Xiamen University, Fujian 361005, China;
Junhui Wang
[email protected]https://orcid.org/0000-0002-9165-5664
Department of Statistics, Chinese University of Hong Kong, Hong Kong SAR
Supplemental Material
The replication files for this article are available HERE.
