@inproceedings{donggyu2019factor,
title={Factor GARCH-It models for high-frequency data with application to large volatility matrix prediction},
author={Donggyu Kim, and Jianqing Fan},
url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114336771115984},
booktitle={Journal of econometrics},
volume={208},
number={2},
pages={395-417},
year={2019},
}
Donggyu Kim, and Jianqing Fan. Factor GARCH-It models for high-frequency data with application to large volatility matrix prediction. 2019. Vol. 208. In Journal of econometrics. pp.395-417. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114336771115984.