High-dimensional estimation of quadratic variation based on penalized realized variance

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Authors: Kim Christensen, Mikkel Slot Nielsen and Mark Podolskij

Journal title: Statistical Inference for Stochastic Processes

Journal publisher: Kluwer Academic Publishers

Published year: 2023

DOI identifier: 10.1007/s11203-022-09282-8

ISSN: 1387-0874