Pages that link to "Item:Q4683042"
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The following pages link to Jump robust two time scale covariance estimation and realized volatility budgets (Q4683042):
Displayed 10 items.
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
- Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (Q2425171) (← links)
- Forecasting and trading high frequency volatility on large indices (Q4554453) (← links)
- Multiple STL decomposition in discovering a multi-seasonality of intraday trading volume (Q5021966) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- The impact of jumps and leverage in forecasting covolatility (Q5864641) (← links)
- ETF basket-adjusted covariance estimation (Q6108294) (← links)