Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867): Difference between revisions

@@ 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 @@
+Generalized dynamic factor models and volatilities: recovering the market volatility shocks
+Normal rank
@@ Property / cites work @@
+Generalized dynamic factor models and volatilities: estimation and forecasting
+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 @@
+Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
+Normal rank
@@ Property / cites work @@
+Are more data always better for factor analysis?
@@ Property / cites work: Are more data always better for factor analysis? / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Robust principal component analysis?
@@ Property / cites work: Robust principal component analysis? / 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 @@
+The common and specific components of dynamic volatility
+Normal rank
@@ Property / cites work @@
+Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
+Normal rank
@@ Property / cites work @@
+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
+Normal rank
@@ Property / cites work @@
+Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Statistical Inference for Unified Garch-Itô Models with High-Frequency Financial Data
+Normal rank
@@ Property / cites work @@
+Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
+Normal rank
@@ Property / cites work @@
+Sparse PCA-based on high-dimensional Itô processes with measurement errors
+Normal rank
@@ Property / cites work @@
+Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
+Normal rank
@@ Property / cites work @@
+Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
+Normal rank
@@ Property / cites work @@
+Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
+Normal rank
@@ Property / cites work @@
+Forecasting Using Principal Components From a Large Number of Predictors
+Normal rank
@@ Property / cites work @@
+FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
+Normal rank
@@ Property / cites work @@
+Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
+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 @@
+Estimating covariation: Epps effect, microstructure noise
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank