Design-free estimation of integrated covariance matrices for high-frequency data (Q2078572): Difference between revisions

@@ Property / Wikidata QID @@
+Q114157888
@@ Property / Wikidata QID: Q114157888 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmva.2021.104910
+Normal rank
@@ Property / OpenAlex ID @@
+W3212057209
@@ Property / OpenAlex ID: W3212057209 / rank @@
+Normal rank
@@ Property / cites work @@
+Using principal component analysis to estimate a high dimensional factor model with high-frequency data
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+Spectral analysis of large dimensional random matrices
+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 @@
+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 @@
+Covariance regularization by thresholding
@@ Property / cites work: Covariance regularization by thresholding / rank @@
+Normal rank
@@ Property / cites work @@
+Regularized estimation of large covariance matrices
+Normal rank
@@ Property / cites work @@
+High dimensional deformed rectangular matrices with applications in matrix denoising
+Normal rank
@@ Property / cites work @@
+Spiked sample covariance matrices with possibly multiple bulk components
+Normal rank
@@ Property / cites work @@
+Spiked separable covariance matrices and principal components
+Normal rank
@@ Property / cites work @@
+Optimal shrinkage of eigenvalues in the spiked covariance model
+Normal rank
@@ Property / cites work @@
+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
+Normal rank
@@ Property / cites work @@
+Optimal Shrinkage of Singular Values
@@ Property / cites work: Optimal Shrinkage of Singular Values / rank @@
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Limit theorems for moving averages of discretized processes plus noise
+Normal rank
@@ Property / cites work @@
+On the systematic and idiosyncratic volatility with large panel high-frequency data
+Normal rank
@@ Property / cites work @@
+A rank test for the number of factors with high-frequency data
+Normal rank
@@ Property / cites work @@
+Nonparametric eigenvalue-regularized precision or covariance matrix estimator
+Normal rank
@@ Property / cites work @@
+Nonlinear shrinkage estimation of large integrated covariance matrices
+Normal rank
@@ Property / cites work @@
+Eigenvectors of some large sample covariance matrix ensembles
+Normal rank
@@ Property / cites work @@
+Nonlinear shrinkage estimation of large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
+Normal rank
@@ Property / cites work @@
+Optimal estimation of a large-dimensional covariance matrix under Stein's loss
+Normal rank
@@ Property / cites work @@
+Analytical nonlinear shrinkage of large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Shrinkage estimation of large covariance matrices: keep it simple, statistician?
+Normal rank
@@ Property / cites work @@
+Estimating the integrated volatility using high-frequency data with zero durations
+Normal rank
@@ Property / cites work @@
+Inference for Continuous Semimartingales Observed at High Frequency
+Normal rank
@@ Property / cites work @@
+Multidimensional scaling of noisy high dimensional data
+Normal rank
@@ Property / cites work @@
+Vast volatility matrix estimation for high-frequency financial data
+Normal rank
@@ Property / cites work @@
+On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation of volatility with high frequency data
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank
@@ Property / cites work @@
+On the estimation of integrated covariance matrices of high dimensional diffusion processes
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2078572