Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556)

scientific article; zbMATH DE number 7767708

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English	Adaptive robust large volatility matrix estimation based on high-frequency financial data	scientific article; zbMATH DE number 7767708

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instance of

scholarly article

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title

Adaptive robust large volatility matrix estimation based on high-frequency financial data (English)

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Journal of Econometrics

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publication date

17 November 2023

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full work available at URL

https://arxiv.org/abs/2102.12752

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zbMATH Keywords

heterogeneity

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tail index

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pre-averaging

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minimax lower bound

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optimality

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POET

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factor model

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MaRDI profile type

MaRDI publication profile

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cites work

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

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Testing for jumps in noisy high frequency data

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High-frequency factor models and regressions

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Increased correlation among asset classes: are volatility or jumps to blame, or both?

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Using principal component analysis to estimate a high dimensional factor model with high-frequency data

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Inferential Theory for Factor Models of Large Dimensions

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Determining the Number of Factors in Approximate Factor Models

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

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Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency

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A Constrained<i>ℓ</i><sub>1</sub>Minimization Approach to Sparse Precision Matrix Estimation

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Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation

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Challenging the empirical mean and empirical variance: a deviation study

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The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data

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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

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Empirical properties of asset returns: stylized facts and statistical issues

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Threshold bipower variation and the impact of jumps on volatility forecasting

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A Theory of the Term Structure of Interest Rates

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Generating systems and properties of income distribution models

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Sub-Gaussian mean estimators

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Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model

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Structured volatility matrix estimation for non-synchronized high-frequency financial data

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Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

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An overview of the estimation of large covariance and precision matrices

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Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data

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An $\ell_{\infty}$ Eigenvector Perturbation Bound and Its Application to Robust Covariance Estimation

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A shrinkage principle for heavy-tailed data: high-dimensional robust low-rank matrix recovery

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On covariance estimation of non-synchronously observed diffusion processes

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Nonsynchronous covariation process and limit theorems

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A simple general approach to inference about the tail of a distribution

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Microstructure noise in the continuous case: the pre-averaging approach

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Discretization of processes.

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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

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Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data

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Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data

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Asymptotic theory for large volatility matrix estimation based on high-frequency financial data

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On the systematic and idiosyncratic volatility with large panel high-frequency data

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Adaptive estimation of continuous-time regression models using high-frequency data

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A Fourier transform method for nonparametric estimation of multivariate volatility

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Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

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Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

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Stochastic tail index model for high frequency financial data with Bayesian analysis

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Sub-Gaussian estimators of the mean of a random matrix with heavy-tailed entries

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The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times

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Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

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Forecasting Using Principal Components From a Large Number of Predictors

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Vast volatility matrix estimation for high-frequency financial data

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Quasi-maximum likelihood estimation of volatility with high frequency data

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Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

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Identifiers

arXiv ID

2102.12752

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DOI

10.1016/j.jeconom.2023.105514

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6090556