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

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+Using principal component analysis to estimate a high dimensional factor model with high-frequency data
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+The Distribution of Realized Exchange Rate Volatility
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+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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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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+Covariance regularization by thresholding
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+Regularized estimation of large covariance matrices
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+Spiked sample covariance matrices with possibly multiple bulk components
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+Spiked separable covariance matrices and principal components
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+Optimal shrinkage of eigenvalues in the spiked covariance model
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+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
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+Optimal Shrinkage of Singular Values
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+Limit theorems for moving averages of discretized processes plus noise
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+On the systematic and idiosyncratic volatility with large panel high-frequency data
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+A rank test for the number of factors with high-frequency data
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+Nonparametric eigenvalue-regularized precision or covariance matrix estimator
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+Nonlinear shrinkage estimation of large integrated covariance matrices
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+Eigenvectors of some large sample covariance matrix ensembles
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+Nonlinear shrinkage estimation of large-dimensional covariance matrices
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+Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
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+Optimal estimation of a large-dimensional covariance matrix under Stein's loss
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+Analytical nonlinear shrinkage of large-dimensional covariance matrices
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+Shrinkage estimation of large covariance matrices: keep it simple, statistician?
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+Estimating the integrated volatility using high-frequency data with zero durations
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+Inference for Continuous Semimartingales Observed at High Frequency
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+Multidimensional scaling of noisy high dimensional data
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+Vast volatility matrix estimation for high-frequency financial data
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+On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
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+Quasi-maximum likelihood estimation of volatility with high frequency data
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+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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+On the estimation of integrated covariance matrices of high dimensional diffusion processes
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