On the systematic and idiosyncratic volatility with large panel high-frequency data
From MaRDI portal
Publication:1650070
DOI10.1214/17-AOS1578zbMath1450.62103OpenAlexW2802825170MaRDI QIDQ1650070
Publication date: 29 June 2018
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1525313076
Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Generalized stochastic processes (60G20) Jump processes on general state spaces (60J76) Causal inference from observational studies (62D20)
Related Items (11)
Robust covariance estimation with noisy high-frequency financial data ⋮ Asymptotic properties of correlation-based principal component analysis ⋮ Adaptive robust large volatility matrix estimation based on high-frequency financial data ⋮ Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data ⋮ Identifying latent factors based on high-frequency data ⋮ Structured volatility matrix estimation for non-synchronized high-frequency financial data ⋮ Efficient and positive semidefinite pre-averaging realized covariance estimator ⋮ Testing against constant factor loading matrix with large panel high-frequency data ⋮ A rank test for the number of factors with high-frequency data ⋮ Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data ⋮ Design-free estimation of integrated covariance matrices for high-frequency data
Cites Work
- Two sample tests for high-dimensional covariance matrices
- Quarticity and other functionals of volatility: efficient estimation
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- Modeling high-frequency financial data by pure jump processes
- Test for bandedness of high-dimensional covariance matrices and bandwidth estimation
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- On the jump activity index for semimartingales
- Covariance regularization by thresholding
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Large-dimensional factor modeling based on high-frequency observations
- Testing for pure-jump processes for high-frequency data
- Vast volatility matrix estimation for high-frequency financial data
- Microstructure noise in the continuous case: the pre-averaging approach
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- On implied volatility for options -- some reasons to smile and more to correct
- The Realized Laplace Transform of Volatility
- Adaptive Thresholding for Sparse Covariance Matrix Estimation
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Inference for Continuous Semimartingales Observed at High Frequency
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
- On the number of common factors with high-frequency data
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
- Inferential Theory for Factor Models of Large Dimensions
- Modeling and Forecasting Realized Volatility
- Determining the Number of Factors in Approximate Factor Models
- The Rotation of Eigenvectors by a Perturbation. III
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- A Tale of Two Time Scales
This page was built for publication: On the systematic and idiosyncratic volatility with large panel high-frequency data
