基于矩阵值因子模型的高维已实现协方差矩阵建模
宋鹏 胡永宏
Modeling High-dimensional Realized Covariance Matrix via Matrix-Valued Factor Model
Song Peng & Hu Yonghong
统计研究 . 2017, (11): 109 -117 .  DOI: 10.19343/j.cnki.11-1302/c.2017.11.010