Pages that link to "Item:Q4916473"
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The following pages link to Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473):
Displayed 34 items.
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764) (← 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)
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
- On the systematic and idiosyncratic volatility with large panel high-frequency data (Q1650070) (← links)
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
- Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
- Testing against constant factor loading matrix with large panel high-frequency data (Q1753061) (← links)
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) (← links)
- Comparing unconstrained parametrization methods for return covariance matrix prediction (Q2084329) (← links)
- High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
- High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
- Sparse covariance matrix estimation in high-dimensional deconvolution (Q2419664) (← links)
- Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (Q2425171) (← links)
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics (Q2515498) (← links)
- High dimensional minimum variance portfolio estimation under statistical factor models (Q2658801) (← links)
- AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS (Q2786680) (← links)
- Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis (Q4555142) (← links)
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (Q4569339) (← links)
- Jump robust two time scale covariance estimation and realized volatility budgets (Q4683042) (← links)
- (Q5011497) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- Efficient and positive semidefinite pre-averaging realized covariance estimator (Q5155195) (← links)
- Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- Uniform convergence rates for spot volatility estimation (Q6064073) (← links)
- Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
- Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models (Q6108258) (← links)
- ETF basket-adjusted covariance estimation (Q6108294) (← links)
- Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
- Copula estimation for nonsynchronous financial data (Q6108882) (← links)
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
- Power enhancement for testing multi-factor asset pricing models via Fisher's method (Q6150526) (← links)