Discussant and Answer - Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection - Slides - 2nd HEC Finance and Statistics Conference 2010 - HEC Paris
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JEAN JACOD, Université Paris 6, discusses Jianqing Fan, Yingying Li and Ke Yu's paper - Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection - during the 2nd Finance and Statistics Conference. Jianqing Fan answers the discussant's questions. The 2nd HEC Finance and Statistics Conference has been held on October 8, 2010 in Paris. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at http://www.hec.fr/financeandstatistics2010.
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