Pages that link to "Item:Q449988"
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The following pages link to On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988):
Displaying 27 items.
- Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930) (← links)
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
- On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988) (← links)
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
- On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) (← links)
- Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
- Estimating the integrated volatility with tick observations (Q1739633) (← links)
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
- A unified model for regularized and robust portfolio optimization (Q2007869) (← links)
- Design-free estimation of integrated covariance matrices for high-frequency data (Q2078572) (← links)
- High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
- High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
- Random matrix theory in statistics: a review (Q2453609) (← links)
- Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations (Q2657980) (← links)
- Testing high-dimensional covariance matrices under the elliptical distribution and beyond (Q2658752) (← links)
- Most powerful test against a sequence of high dimensional local alternatives (Q2697980) (← links)
- Convergence of the spectrum of empirical covariance matrices for independent MRW processes (Q2786484) (← links)
- On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) (← links)
- Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data (Q3387056) (← links)
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473) (← links)
- Time-Varying Periodicity in Intraday Volatility (Q5208074) (← links)
- Principal Component Analysis of High-Frequency Data (Q5229911) (← links)
- High-dimensional estimation of quadratic variation based on penalized realized variance (Q6166018) (← links)
- On singular values of data matrices with general independent columns (Q6172191) (← links)
- Separable sample covariance matrices under elliptical populations with applications (Q6544130) (← links)
- Volatility analysis in high-frequency financial data (Q6604425) (← links)
- High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation (Q6608678) (← links)
