Pages that link to "Item:Q1781192"
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The following pages link to On covariance estimation of non-synchronously observed diffusion processes (Q1781192):
Displayed 50 items.
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) (← links)
- Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930) (← links)
- Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
- The asymptotics of the integrated self-weighted cross volatility estimator (Q394775) (← links)
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- A Gaussian calculus for inference from high frequency data (Q470517) (← links)
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
- Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
- Bootstrapping realized multivariate volatility measures (Q528117) (← links)
- The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise (Q543441) (← links)
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility (Q544506) (← links)
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
- Fluctuation scaling and covariance matrix of constituents' flows on a bipartite graph empirical analysis with high-frequency financial data based on a Poisson mixture model (Q614551) (← links)
- On a notion of partially conditionally identically distributed sequences (Q681988) (← links)
- Nonsynchronous covariation process and limit theorems (Q719383) (← links)
- Second-order asymptotic expansion for a non-synchronous covariation estimator (Q720740) (← links)
- Sequential monitoring of portfolio betas (Q725685) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes (Q740191) (← links)
- Local asymptotic mixed normality property for nonsynchronously observed diffusion processes (Q888473) (← links)
- Consistent estimation of covariation under nonsynchronicity (Q946288) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes (Q1019457) (← links)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Least-squares wavelet analysis of unequally spaced and non-stationary time series and its applications (Q1719815) (← links)
- Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← links)
- Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
- Testing for simultaneous jumps in case of asynchronous observations (Q1750093) (← links)
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
- Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084) (← links)
- Irregular sampling and central limit theorems for power variations: the continuous case (Q1944677) (← links)
- Estimation of the lead-lag parameter from non-synchronous data (Q1952430) (← links)
- Laws of large numbers for Hayashi-Yoshida-type functionals (Q1999591) (← links)
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (Q2008095) (← links)
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling (Q2013324) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- Quasi-likelihood analysis and its applications (Q2137733) (← links)
- Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility (Q2145810) (← links)