Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading

DOI10.1016/J.JECONOM.2017.04.003zbMATH Open1391.62295OpenAlexW3123161260MaRDI QIDQ2405902FDOQ2405902

Authors: Dacheng Xiu, Neil Shephard 

Publication date: 28 September 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.04.003

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zbMATH Keywords

Kalman filterEM algorithmfactor modelquasi-likelihoodsemimartingalemarket microstructure noiseasynchronous dataportfolio allocation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

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Cited In (24)

• Inference for time-varying lead-lag relationships from ultra-high-frequency data
• A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
• Exploiting the errors: a simple approach for improved volatility forecasting
• Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
• High-frequency covariance estimates with noisy and asynchronous financial data
• Efficient estimation of integrated volatility functionals via multiscale jackknife
• Efficient and positive semidefinite pre-averaging realized covariance estimator
• A closed-form formula characterization of the Epps effect
• Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
• A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
• An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Testing against constant factor loading matrix with large panel high-frequency data
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
• Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
• Statistical inference in factor analysis for diffusion processes from discrete observations
• High-dimensional realized covariance estimation: a parametric approach
• Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
• Principal Component Analysis of High-Frequency Data
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise
• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data

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