On a spiked model for large volatility matrix estimation from noisy high-frequency data

DOI10.1016/j.csda.2018.06.004zbMath1471.62184arXiv1702.03417OpenAlexW2613265298MaRDI QIDQ1615279

Wai Keung Li, Keren Shen, Jian-feng Yao

Publication date: 2 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.03417

zbMATH Keywords

random matrix theorypre-averagingspiked covariance matrixintegrated covariance matrix

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Editorial for the special issue on high-dimensional and functional data analysis ⋮ Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data

Cites Work

• Unnamed Item
• On the estimation of integrated covariance matrices of high dimensional diffusion processes
• Central limit theorems for eigenvalues in a spiked population model
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Quasi-maximum likelihood estimation of volatility with high frequency data
• Estimating covariation: Epps effect, microstructure noise
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• On sample eigenvalues in a generalized spiked population model
• Spectral analysis of large dimensional random matrices
• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
• On the distribution of the largest eigenvalue in principal components analysis
• Vast volatility matrix estimation for high-frequency financial data
• Microstructure noise in the continuous case: the pre-averaging approach
• Estimation of the number of spikes, possibly equal, in the high-dimensional case
• Eigenvalues of large sample covariance matrices of spiked population models
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Statistical arbitrage in the US equities market
• ESTIMATION OF SPIKED EIGENVALUES IN SPIKED MODELS
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
• Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Large Sample Covariance Matrices and High-Dimensional Data Analysis
• High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• A Tale of Two Time Scales