Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency

DOI10.1016/j.jmva.2022.105091zbMath1498.91420arXiv2006.12039OpenAlexW3121565215MaRDI QIDQ2079627

Yanyan Li

Publication date: 30 September 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.12039

zbMATH Keywords

POEThigh dimensionalityfactor modelstochastic volatility modelquasi-maximum likelihood estimation

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15)

Cites Work

• Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
• Volatility analysis with realized GARCH-Itô models
• A multiple indicators model for volatility using intra-daily data
• 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
• 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
• Covariance regularization by thresholding
• High frequency market microstructure noise estimates and liquidity measures
• Using principal component analysis to estimate a high dimensional factor model with high-frequency data
• Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
• Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
• Vast volatility matrix estimation for high-frequency financial data
• Microstructure noise in the continuous case: the pre-averaging approach
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Robust principal component analysis?
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
• State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
• A ReMeDI for Microstructure Noise
• Time-Varying Periodicity in Intraday Volatility
• High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
• A useful variant of the Davis–Kahan theorem for statisticians
• FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements
• A Tale of Two Time Scales

This page was built for publication: Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency