A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581): Difference between revisions

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+Design-free estimation of variance matrices
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+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
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+Using principal component analysis to estimate a high dimensional factor model with high-frequency data
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+Spectral analysis of large dimensional random matrices
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+On asymptotics of eigenvectors of large sample covariance matrix
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+No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
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+Realized kernels in practice: trades and quotes
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+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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+Regularized estimation of large covariance matrices
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+Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
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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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+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
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+Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
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+Covariance measurement in the presence of non-synchronous trading and market microstructure noise
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+Q3185327
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+Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
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+Nonparametric eigenvalue-regularized precision or covariance matrix estimator
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+Nonlinear shrinkage estimation of large-dimensional covariance matrices
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+DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
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+FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
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+Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
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+Vast volatility matrix estimation for high-frequency financial data
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+Quasi-maximum likelihood estimation of volatility with high frequency data
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+Jump detection with wavelets for high-frequency financial time series
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+Estimating covariation: Epps effect, microstructure noise
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