DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE (Q3166712): Difference between revisions

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+The Distribution of Realized Exchange Rate Volatility
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+Modeling and Forecasting Realized Volatility
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+A reduced form framework for modeling volatility of speculative prices based on realized variation measures
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+Formulation and estimation of dynamic models using panel data
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+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Using High-Frequency Data in Dynamic Portfolio Choice
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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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+Forecasting multivariate realized stock market volatility
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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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+Robust estimation and outlier detection with correlation coefficients
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+Predicting volatility: getting the most out of return data sampled at different frequencies
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+The conditional autoregressive Wishart model for multivariate stock market volatility
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+The Wishart autoregressive process of multivariate stochastic volatility
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+Efficient estimation of a multivariate multiplicative volatility model
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+Q4003578
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+Computing the nearest correlation matrix--a problem from finance
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+Forecasting Using Principal Components From a Large Number of Predictors
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+A Tale of Two Time Scales
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+Publication:3166712