Structured volatility matrix estimation for non-synchronized high-frequency financial data
From MaRDI portal
Publication:1740273
DOI10.1016/J.JECONOM.2018.12.019zbMath1452.62761OpenAlexW2776631285WikidataQ114666102 ScholiaQ114666102MaRDI QIDQ1740273
Publication date: 30 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.12.019
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (3)
Adaptive robust large volatility matrix estimation based on high-frequency financial data ⋮ Large volatility matrix analysis using global and national factor models ⋮ Block-diagonal precision matrix regularization for ultra-high dimensional data
Cites Work
- High dimensional covariance matrix estimation using a factor model
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Risks of large portfolios
- Nuclear-norm penalization and optimal rates for noisy low-rank matrix completion
- Nonsynchronous covariation process and limit theorems
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Estimating covariation: Epps effect, microstructure noise
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- On the systematic and idiosyncratic volatility with large panel high-frequency data
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- On covariance estimation of non-synchronously observed diffusion processes
- Fourier series method for measurement of multivariate volatilities
- Asymptotic nonequivalence of GARCH models and diffusions
- Vast volatility matrix estimation for high-frequency financial data
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Microstructure noise in the continuous case: the pre-averaging approach
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Exact matrix completion via convex optimization
- A Theory of the Term Structure of Interest Rates
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
- Determining the Number of Factors in Approximate Factor Models
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- A Tale of Two Time Scales
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
This page was built for publication: Structured volatility matrix estimation for non-synchronized high-frequency financial data
