Pages that link to "Item:Q5475035"
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The following pages link to Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (Q5475035):
Displaying 50 items.
- Analysis of high dimensional multivariate stochastic volatility models (Q278181) (← links)
- Inference theory for volatility functional dependencies (Q284294) (← 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)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Fractional integration versus level shifts: the case of realized asset correlations (Q379926) (← links)
- On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988) (← links)
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← 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)
- Bootstrapping realized multivariate volatility measures (Q528117) (← links)
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
- Data-based ranking of realised volatility estimators (Q530606) (← links)
- Estimation of stable distributions by indirect inference (Q530608) (← links)
- Power variation of fractional integral processes with jumps (Q552984) (← links)
- New tests for jumps in semimartingale models (Q625314) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- Multipower variation for Brownian semistationary processes (Q654402) (← links)
- Cholesky-GARCH models with applications to finance (Q693317) (← links)
- Nonsynchronous covariation process and limit theorems (Q719383) (← links)
- Sequential monitoring of portfolio betas (Q725685) (← links)
- High-dimensional copula-based distributions with mixed frequency data (Q726592) (← links)
- On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
- Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
- Forecasting multivariate realized stock market volatility (Q737267) (← links)
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279) (← links)
- Volatility forecast comparison using imperfect volatility proxies (Q737280) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- The conditional autoregressive Wishart model for multivariate stock market volatility (Q738147) (← links)
- Power variation of some integral fractional processes (Q850768) (← links)
- Econometric analysis of high frequency data (Q862781) (← links)
- A note on the central limit theorem for bipower variation of general functions (Q927926) (← links)
- Consistent estimation of covariation under nonsynchronicity (Q946288) (← links)
- Functional modelling of volatility in the Swedish limit order book (Q961406) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- Power variation for Gaussian processes with stationary increments (Q1019612) (← links)
- On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) (← links)
- Long memory behavior of returns after intraday financial jumps (Q1619836) (← links)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← links)
- The uncertainty of conditional returns, volatilities and correlations in DCC models (Q1659110) (← links)
- Mixed-scale jump regressions with bootstrap inference (Q1676389) (← links)
- Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis (Q1684768) (← links)
- Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
- Dynamic hedging with futures: a copula-based GARCH model with high-frequency data (Q1710582) (← links)
- Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- New distribution theory for the estimation of structural break point in mean (Q1754516) (← links)
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) (← links)
