Pages that link to "Item:Q737259"

The following pages link to Estimating covariation: Epps effect, microstructure noise (Q737259):

Displaying 48 items.

• High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
• Vast volatility matrix estimation for high-frequency financial data (Q2380093) (← links)
• A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (Q2425171) (← links)
• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
• Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing (Q2835311) (← links)
• Three-point approach for estimating integrated volatility and integrated covariance (Q2879047) (← links)
• An integrated cross-volatility estimation for asynchronous noisy data (Q2892937) (← links)
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
• REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) (← links)
• STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (Q3225026) (← links)
• Realized Volatility: A Review (Q3539862) (← links)
• The Epps effect revisited (Q3650961) (← links)
• Ultra-high-frequency lead–lag relationship and information arrival (Q4554452) (← links)
• Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707) (← links)
• Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (Q4569339) (← links)
• Jump robust two time scale covariance estimation and realized volatility budgets (Q4683042) (← links)
• VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473) (← links)
• Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246) (← links)
• EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS (Q4959130) (← links)
• (Q5019097) (← links)
• State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (Q5030954) (← links)
• A multivariate volatility vine copula model (Q5034252) (← links)
• Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
• On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? (Q5086397) (← links)
• Large dimensional portfolio allocation based on a mixed frequency dynamic factor model (Q5095203) (← links)
• Conditional quantile analysis for realized GARCH models (Q5095829) (← links)
• A closed-form formula characterization of the Epps effect (Q5121493) (← links)
• Efficient and positive semidefinite pre-averaging realized covariance estimator (Q5155195) (← links)
• FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112) (← links)
• An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636) (← links)
• ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
• The impact of jumps and leverage in forecasting covolatility (Q5864641) (← links)
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
• Cross-impact of order flow imbalance in equity markets (Q6063318) (← links)
• Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
• ETF basket-adjusted covariance estimation (Q6108294) (← links)
• Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
• Copula estimation for nonsynchronous financial data (Q6108882) (← links)
• Testing the volatility jumps based on the high frequency data (Q6134625) (← links)
• Volatility models for stylized facts of high‐frequency financial data (Q6135344) (← links)
• Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas (Q6149866) (← links)
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
• Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)
• Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model (Q6163267) (← links)