Pages that link to "Item:Q737896"

The following pages link to Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896):

Displaying 50 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)
• Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
• Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
• Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
• Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930) (← links)
• 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 covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
• Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
• An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← 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)
• Stochastic volatility and stochastic leverage (Q470516) (← links)
• Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
• Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
• Bootstrapping realized multivariate volatility measures (Q528117) (← links)
• On loss functions and ranking forecasting performances of multivariate volatility models (Q528161) (← links)
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
• Second-order asymptotic expansion for a non-synchronous covariation estimator (Q720740) (← 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)
• Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
• High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
• Realized volatility forecasting and market microstructure noise (Q737278) (← links)
• Quasi-likelihood analysis for nonsynchronously observed diffusion processes (Q740191) (← links)
• Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
• An integrated framework for visualizing and forecasting realized covariance matrices (Q825351) (← links)
• Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
• Local asymptotic mixed normality property for nonsynchronously observed diffusion processes (Q888473) (← links)
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485) (← links)
• A tractable state-space model for symmetric positive-definite matrices (Q899053) (← links)
• Rejoinder: ``A tractable state-space model for symmetric positive-definite matrices'' (Q899055) (← links)
• Hellinger distance and non-informative priors (Q899064) (← links)
• On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) (← links)
• Forecasting realized volatility: a review (Q1622112) (← links)
• Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
• Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← links)
• Managing risk with a realized copula parameter (Q1659106) (← links)
• A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
• Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
• Long memory and asymmetry for matrix-exponential dynamic correlation processes (Q1695662) (← links)