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

@@ Property / OpenAlex ID @@
+W2809550729
@@ Property / OpenAlex ID: W2809550729 / rank @@
+Normal rank
@@ Property / cites work @@
+Design-free estimation of variance matrices
@@ Property / cites work: Design-free estimation of variance matrices / rank @@
+Normal rank
@@ Property / cites work @@
+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
+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 @@
+Spectral analysis of large dimensional random matrices
+Normal rank
@@ Property / cites work @@
+On asymptotics of eigenvectors of large sample covariance matrix
+Normal rank
@@ Property / cites work @@
+No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
+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 @@
+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 @@
+Regularized estimation of large covariance matrices
+Normal rank
@@ Property / cites work @@
+Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
+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 @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
+Normal rank
@@ Property / cites work @@
+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
+Normal rank
@@ Property / cites work @@
+Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
+Normal rank
@@ Property / cites work @@
+Covariance measurement in the presence of non-synchronous trading and market microstructure noise
+Normal rank
@@ Property / cites work @@
+Q3185327
@@ Property / cites work: Q3185327 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
+Normal rank
@@ Property / cites work @@
+Nonparametric eigenvalue-regularized precision or covariance matrix estimator
+Normal rank
@@ Property / cites work @@
+Nonlinear shrinkage estimation of large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
+Normal rank
@@ Property / cites work @@
+FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
+Normal rank
@@ Property / cites work @@
+Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
+Normal rank
@@ Property / cites work @@
+Q4410077
@@ Property / cites work: Q4410077 / rank @@
+Normal rank
@@ Property / cites work @@
+Vast volatility matrix estimation for high-frequency financial data
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation of volatility with high frequency data
+Normal rank
@@ Property / cites work @@
+Jump detection with wavelets for high-frequency financial time series
+Normal rank
@@ Property / cites work @@
+Estimating covariation: Epps effect, microstructure noise
+Normal rank
@@ Property / Wikidata QID @@
+Q129609077
@@ Property / Wikidata QID: Q129609077 / rank @@
+Normal rank