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Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
We propose a new estimator of high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure from noisy and asynchronous high-frequency data collected for an ultra-large number of assets.
MQENet: A Mesh Quality Evaluation Neural Network Based on Dynamic Graph Attention
MQENet treats the mesh evaluation task as a graph classification task for classifying the quality of the input structured mesh.
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