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Liu, Cheng; Tang, Cheng Yong A state space model approach to integrated covariance matrix estimation with high frequency data. (English) Zbl 1326.62122 Stat. Interface 6, No. 4, 463-475 (2013). MSC: 62H12 62H30 91G70 62P05 × Cite Format Result Cite Review PDF Full Text: DOI