Fast convergence rates in estimating large volatility matrices using high-frequency financial data
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Cites work
- A Tale of Two Time Scales
- Asymptotic equivalence for inference on the volatility from noisy observations
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Covariance regularization by thresholding
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Edgeworth expansions for realized volatility and related estimators
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimating covariation: Epps effect, microstructure noise
- High-frequency covariance estimates with noisy and asynchronous financial data
- scientific article; zbMATH DE number 1028237 (Why is no real title available?)
- Large volatility matrix inference via combining low-frequency and high-frequency approaches
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- On covariance estimation of non-synchronously observed diffusion processes
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Sequential conditional correlations: inference and evaluation
Cited in
(31)- On the systematic and idiosyncratic volatility with large panel high-frequency data
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- Large-dimensional factor modeling based on high-frequency observations
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Vast volatility matrix estimation for high-frequency financial data
- Statistical inference for unified Garch-Itô models with high-frequency financial data
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Forecasting high-dimensional realized volatility matrices using a factor model
- State heterogeneity analysis of financial volatility using high-frequency financial data
- High-dimensional integrated volatility matrix estimation for high-frequency financial data
- High-dimensional integrated volatility matrix estimation for high-frequency financial data with jumps
- Comment on article by Windle and Carvalho
- Overnight GARCH-Itô Volatility Models
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- Volatility analysis in high-frequency financial data
- Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
- A simple realized factor-based portfolio: improving minimum variance portfolio performance by incorporating low-frequency betas
- Spectral analysis of high-dimensional spot volatility matrix with applications
- Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems
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