Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
From MaRDI portal
Publication:1750098
DOI10.3150/17-BEJ974zbMath1415.62079MaRDI QIDQ1750098
Yi Liu, Donggyu Kim, Yazhen Wang
Publication date: 18 May 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1524038766
diffusionregularizationsparsityfactor modelintegrated volatilityadaptive thresholdpre-averaging realized volatilitykernel realized volatilitymultiple-scale realized volatility
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (9)
An integrated framework for visualizing and forecasting realized covariance matrices ⋮ On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach ⋮ Adaptive robust large volatility matrix estimation based on high-frequency financial data ⋮ Overnight GARCH-Itô Volatility Models ⋮ Unnamed Item ⋮ Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction ⋮ Structured volatility matrix estimation for non-synchronized high-frequency financial data ⋮ Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency ⋮ State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
Cites Work
- Unnamed Item
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
- High dimensional covariance matrix estimation using a factor model
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- 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
- Optimal rates of convergence for sparse covariance matrix estimation
- Covariance regularization by thresholding
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- On covariance estimation of non-synchronously observed diffusion processes
- Asymptotic nonequivalence of GARCH models and diffusions
- Vast volatility matrix estimation for high-frequency financial data
- Microstructure noise in the continuous case: the pre-averaging approach
- Regularized estimation of large covariance matrices
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- A Theory of the Term Structure of Interest Rates
- Adaptive Thresholding for Sparse Covariance Matrix Estimation
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Funds, Factors, and Diversification in Arbitrage Pricing Models
- Relative Perturbation Theory: I. Eigenvalue and Singular Value Variations
- Relative Perturbation Theory: II. Eigenspace and Singular Subspace Variations
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
- Common risk factors in the returns on stocks and bonds
- Modeling and Forecasting Realized Volatility
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- A Tale of Two Time Scales
This page was built for publication: Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data