On covariance estimation of non-synchronously observed diffusion processes
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(only showing first 100 items - show all)- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- 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
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Structured volatility matrix estimation for non-synchronized high-frequency financial data
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
- Testing for simultaneous jumps in case of asynchronous observations
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Irregular sampling and central limit theorems for power variations: the continuous case
- Estimation of the lead-lag parameter from non-synchronous data
- Laws of large numbers for Hayashi-Yoshida-type functionals
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
- Estimation for high-frequency data under parametric market microstructure noise
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Quasi-likelihood analysis and its applications
- Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
- Direct estimation of lead-lag relationships using multinomial dynamic time warping
- Confidence interval for correlation estimator between latent processes
- High-dimensional multivariate realized volatility estimation
- Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions
- Hybrid multi-step estimators for stochastic differential equations based on sampled data
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- Vast volatility matrix estimation for high-frequency financial data
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Modeling tick-by-tick realized correlations
- Large and moderate deviations of realized covolatility
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Estimation of quarticity with high-frequency data
- Three-point approach for estimating integrated volatility and integrated covariance
- An integrated cross-volatility estimation for asynchronous noisy data
- Efficient covariance estimation for asynchronous noisy high-frequency data
- Robust estimation of a high-dimensional integrated covariance matrix
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- High-dimensional covariance forecasting for short intra-day horizons
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- A non-parametric estimator of the spectral density of a continuous-time Gaussian process observed at random times
- Estimation of correlation for continuous semimartingales
- Realized volatility when sampling times are possibly endogenous
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
- Realized Volatility: A Review
- Nonparametric Estimation Methods of Integrated Multivariate Volatilities
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- The Epps effect revisited
- Nonparametric inference on Lévy measures and copulas
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- The asymptotics of the integrated self-weighted cross volatility estimator
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
- Ultra-high-frequency lead-lag relationship and information arrival
- 24-hour realized volatilities and transatlantic volatility interdependence
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
- Emergence of statistically validated financial intraday lead-lag relationships
- Study of statistical correlations in intraday and daily financial return time series
- A Gaussian calculus for inference from high frequency data
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Forecasting high-dimensional realized volatility matrices using a factor model
- Estimation of correlation between latent processes
- scientific article; zbMATH DE number 7387568 (Why is no real title available?)
- A multivariate volatility vine copula model
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- Network-adaptive robust penalized estimation of time-varying coefficient models with longitudinal data
- High-dimensional realized covariance estimation: a parametric approach
- Estimation of integrated quadratic covariation with endogenous sampling times
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
- A closed-form formula characterization of the Epps effect
- Malliavin-Mancino estimators implemented with nonuniform fast Fourier transforms
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- Bootstrapping realized multivariate volatility measures
- A local Gaussian bootstrap method for realized volatility and realized beta
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- The impact of jumps and leverage in forecasting covolatility
- scientific article; zbMATH DE number 7660132 (Why is no real title available?)
- Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
- Bootstrapping Laplace transforms of volatility
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- ETF basket-adjusted covariance estimation
- Review of statistical approaches for modeling high-frequency trading data
- Copula estimation for nonsynchronous financial data
- Fluctuation scaling and covariance matrix of constituents' flows on a bipartite graph empirical analysis with high-frequency financial data based on a Poisson mixture model
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