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