Pages that link to "Item:Q308360"

The following pages link to Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360):

Displaying 22 items.

• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930) (← links)
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
• Entropy measure of credit risk in highly correlated markets (Q1620628) (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
• Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
• Cojumps and asset allocation in international equity markets (Q1734591) (← links)
• A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858) (← links)
• Empirical asset pricing with multi-period disaster risk: a simulation-based approach (Q2024452) (← links)
• The drift burst hypothesis (Q2116347) (← links)
• Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process (Q2188020) (← links)
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model (Q2666309) (← links)
• Characterizing financial crises using high-frequency data (Q5079366) (← links)
• Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
• Bootstrapping High-Frequency Jump Tests (Q5231507) (← links)
• Jump‐robust testing of volatility functions in continuous time models (Q6059411) (← links)
• Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
• Volatility models for stylized facts of high‐frequency financial data (Q6135344) (← links)