On covariance estimation of non-synchronously observed diffusion processes
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Cited in
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- The asymptotics of the integrated self-weighted cross volatility estimator
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- Irregular sampling and central limit theorems for power variations: the continuous case
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- Nonparametric inference on Lévy measures and copulas
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- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
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- On a notion of partially conditionally identically distributed sequences
- Estimation for high-frequency data under parametric market microstructure noise
- Estimation of the lead-lag parameter from non-synchronous data
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- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
- An integrated cross-volatility estimation for asynchronous noisy data
- Sequential monitoring of portfolio betas
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- A Gaussian calculus for inference from high frequency data
- Efficient covariance estimation for asynchronous noisy high-frequency data
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
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- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
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- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- A local Gaussian bootstrap method for realized volatility and realized beta
- Hybrid multi-step estimators for stochastic differential equations based on sampled data
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
- Confidence interval for correlation estimator between latent processes
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- Efficient estimation of integrated volatility functionals via multiscale jackknife
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- On the estimation of integrated volatility in the presence of jumps and microstructure noise
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- Ultra-high-frequency lead-lag relationship and information arrival
- A multivariate volatility vine copula model
- High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
- Large and moderate deviations of realized covolatility
- Forecasting high-dimensional realized volatility matrices using a factor model
- Bootstrapping Laplace transforms of volatility
- Estimation of correlation between latent processes
- Permutation invariant Gaussian matrix models for financial correlation matrices
- 24-hour realized volatilities and transatlantic volatility interdependence
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Least-squares wavelet analysis of unequally spaced and non-stationary time series and its applications
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- Study of statistical correlations in intraday and daily financial return time series
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