Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084): Difference between revisions

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-Leopoldo Catania
@@ Property / author: Leopoldo Catania / rank @@
-Normal rank
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+Leopoldo Catania
@@ Property / author: Leopoldo Catania / rank @@
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+RTAQ
@@ Property / describes a project that uses: RTAQ / rank @@
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+W3122486238
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@@ Property / cites work @@
+Propagation of outliers in multivariate data
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+Jump-robust volatility estimation using nearest neighbor truncation
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+A new fluctuation test for constant variances with applications to finance
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+Modeling tick-by-tick realized correlations
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+Using High-Frequency Data in Dynamic Portfolio Choice
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+Realized kernels in practice: trades and quotes
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+Intradaily dynamic portfolio selection
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+The Gaussian rank correlation estimator: robustness properties
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+A bootstrap test for equality of variances
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+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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+Realised quantile-based estimation of the integrated variance
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+Predicting the Daily Covariance Matrix for S&amp;P 100 Stocks Using Intraday Data—But Which Frequency to Use?
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+Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
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+On the online estimation of local constant volatilities
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+On covariance estimation of non-synchronously observed diffusion processes
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+Testing for common arrivals of jumps for discretely observed multidimensional processes
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+An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices
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+NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
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+IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
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+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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+Tables of Expected Values of Order Statistics and Products of Order Statistics for Samples of Size Twenty and Less from the Normal Distribution
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+Estimating covariation: Epps effect, microstructure noise
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@@ links / mardi / name / links / mardi / name @@
+Publication:1927084