Pages that link to "Item:Q464183"

The following pages link to Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183):

Displaying 49 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)
• Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• A noisy principal component analysis for forward rate curves (Q319733) (← links)
• Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930) (← links)
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
• Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← 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)
• Quasi-likelihood analysis for nonsynchronously observed diffusion processes (Q740191) (← links)
• Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
• Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
• Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
• Local asymptotic mixed normality property for nonsynchronously observed diffusion processes (Q888473) (← links)
• Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes (Q1621717) (← links)
• Forecasting realized volatility: a review (Q1622112) (← links)
• Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
• Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
• Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← links)
• Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
• Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867) (← links)
• Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
• Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
• Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (Q1751974) (← links)
• Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency (Q2079627) (← links)
• Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
• Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data (Q2209820) (← links)
• Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
• Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
• Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
• Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
• Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (Q2347453) (← links)
• Adaptive estimation of continuous-time regression models using high-frequency data (Q2398973) (← links)
• Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes (Q2676877) (← links)
• Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing (Q2835311) (← links)
• Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707) (← links)
• On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect (Q4578217) (← links)
• Goodness-of-fit tests for centralized Wishart processes (Q5078009) (← links)
• Conditional quantile analysis for realized GARCH models (Q5095829) (← links)
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
• Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
• Asymptotically efficient estimation for diffusion processes with nonsynchronous observations (Q6176239) (← links)
• Testing for jumps with robust spot volatility estimators (Q6490929) (← links)