@inproceedings{jianqing2019structured,
title={Structured volatility matrix estimation for non-synchronized high-frequency financial data},
author={Jianqing Fan, and Donggyu Kim},
url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114426031451998},
booktitle={Journal of Econometrics},
volume={209},
number={1},
pages={61-78},
year={2019},
}
Jianqing Fan, and Donggyu Kim. Structured volatility matrix estimation for non-synchronized high-frequency financial data. 2019. Vol. 209. In Journal of Econometrics. pp.61-78. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114426031451998.