Pages that link to "Item:Q737896"
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The following pages link to Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896):
Displayed 40 items.
- A two-step estimation of diffusion processes using noisy observations (Q4634446) (← 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 Portfolio Selection With Gross-Exposure Constraints (Q4916498) (← links)
- Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246) (← links)
- Dynamic principal component CAW models for high-dimensional realized covariance matrices (Q4991059) (← links)
- Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (Q4997698) (← links)
- (Q5011497) (← links)
- Modeling and forecasting realized covariance matrices with accounting for leverage (Q5034242) (← links)
- Network-adaptive robust penalized estimation of time-varying coefficient models with longitudinal data (Q5040521) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- High-dimensional realized covariance estimation: a parametric approach (Q5051983) (← links)
- Time series models for realized covariance matrices based on the matrix-F distribution (Q5066772) (← links)
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? (Q5086397) (← 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)
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (Q5212061) (← links)
- Principal Component Analysis of High-Frequency Data (Q5229911) (← links)
- The influence of intraday seasonality on volatility transmission pattern (Q5234350) (← links)
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112) (← links)
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights (Q5413944) (← links)
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- GMM estimation of a realized stochastic volatility model: A Monte Carlo study (Q5862494) (← links)
- The impact of jumps and leverage in forecasting covolatility (Q5864641) (← links)
- Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity (Q5880780) (← links)
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
- Bayesian semiparametric modeling of realized covariance matrices (Q5964748) (← 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)
- 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)
- Systematic staleness (Q6152589) (← links)
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model (Q6163267) (← links)
- Asymptotically efficient estimation for diffusion processes with nonsynchronous observations (Q6176239) (← links)
- Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)