A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320): Difference between revisions

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English	A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous	scientific article

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instance of

scholarly article

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title

A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (English)

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author

Shin S. Ikeda

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published in

Journal of Econometrics

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publication date

18 May 2016

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zbMATH Keywords

high frequency data

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covariation

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microstructure

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endogenous durations

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2016.02.016

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cites work

Q5708419

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High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

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Ultra high frequency volatility estimation with dependent microstructure noise

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Asset pricing for general processes

0 references

Q5493536

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

0 references

Realized kernels in practice: trades and quotes

0 references

Subsampling realised kernels

0 references

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

0 references

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

0 references

Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency

0 references

Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing

0 references

Time Series

0 references

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

0 references

Realized volatility with stochastic sampling

0 references

Diffusions with measurement errors. I. Local Asymptotic Normality

0 references

Q4054986

0 references

Q4935984

0 references

Q3999325

0 references

On covariance estimation of non-synchronously observed diffusion processes

0 references

A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous

0 references

Estimating functions for diffusion-type processes

0 references

Microstructure noise in the continuous case: the pre-averaging approach

0 references

Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method

0 references

Generalized jackknifing and higher order kernels

0 references

Subsampling high frequency data

0 references

Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

0 references

Q4002114

0 references

Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling

0 references

Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise

0 references

REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS

0 references

Volatility inference in the presence of both endogenous time and microstructure noise

0 references

Q4913195

0 references

On Consistent Estimates of the Spectrum of a Stationary Time Series

0 references

HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES

0 references

Q3323077

0 references

Asymptotic equivalence for inference on the volatility from noisy observations

0 references

Empirical-Bias Bandwidths for Local Polynomial Nonparametric Regression and Density Estimation

0 references

Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading

0 references

ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS

0 references

Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

0 references

A Tale of Two Time Scales

0 references

Identifiers

zbMATH Open document ID

1420.62444

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DOI

10.1016/j.jeconom.2016.02.016

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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@@ Property / cites work @@
+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
+Normal rank
@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Asset pricing for general processes
@@ Property / cites work: Asset pricing for general processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q5493536
@@ Property / cites work: Q5493536 / rank @@
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Realized kernels in practice: trades and quotes
@@ Property / cites work: Realized kernels in practice: trades and quotes / rank @@
+Normal rank
@@ Property / cites work @@
+Subsampling realised kernels
@@ Property / cites work: Subsampling realised kernels / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
+Normal rank
@@ Property / cites work @@
+Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
+Normal rank
@@ Property / cites work @@
+Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing
+Normal rank
@@ Property / cites work @@
+Time Series
@@ Property / cites work: Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
+Normal rank
@@ Property / cites work @@
+Realized volatility with stochastic sampling
@@ Property / cites work: Realized volatility with stochastic sampling / rank @@
+Normal rank
@@ Property / cites work @@
+Diffusions with measurement errors. I. Local Asymptotic Normality
+Normal rank
@@ Property / cites work @@
+Q4054986
@@ Property / cites work: Q4054986 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4935984
@@ Property / cites work: Q4935984 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3999325
@@ Property / cites work: Q3999325 / rank @@
+Normal rank
@@ Property / cites work @@
+On covariance estimation of non-synchronously observed diffusion processes
+Normal rank
@@ Property / cites work @@
+A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
+Normal rank
@@ Property / cites work @@
+Estimating functions for diffusion-type processes
@@ Property / cites work: Estimating functions for diffusion-type processes / rank @@
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
+Normal rank
@@ Property / cites work @@
+Generalized jackknifing and higher order kernels
@@ Property / cites work: Generalized jackknifing and higher order kernels / rank @@
+Normal rank
@@ Property / cites work @@
+Subsampling high frequency data
@@ Property / cites work: Subsampling high frequency data / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
+Normal rank
@@ Property / cites work @@
+Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
+Normal rank
@@ Property / cites work @@
+REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
+Normal rank
@@ Property / cites work @@
+Volatility inference in the presence of both endogenous time and microstructure noise
+Normal rank
@@ Property / cites work @@
+Q4913195
@@ Property / cites work: Q4913195 / rank @@
+Normal rank
@@ Property / cites work @@
+On Consistent Estimates of the Spectrum of a Stationary Time Series
+Normal rank
@@ Property / cites work @@
+HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
+Normal rank
@@ Property / cites work @@
+Q3323077
@@ Property / cites work: Q3323077 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic equivalence for inference on the volatility from noisy observations
+Normal rank
@@ Property / cites work @@
+Empirical-Bias Bandwidths for Local Polynomial Nonparametric Regression and Density Estimation
+Normal rank
@@ Property / cites work @@
+Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
+Normal rank
@@ Property / cites work @@
+ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:284320