Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
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Publication:2405902
DOI10.1016/j.jeconom.2017.04.003zbMath1391.62295OpenAlexW3123161260MaRDI QIDQ2405902
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
EM algorithmKalman filterquasi-likelihoodsemimartingalefactor modelmarket microstructure noiseasynchronous dataportfolio allocation
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05)
Related Items (18)
Inference for time-varying lead-lag relationships from ultra-high-frequency 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 ⋮ High-dimensional realized covariance estimation: a parametric approach ⋮ Statistical inference in factor analysis for diffusion processes from discrete observations ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ A closed-form formula characterization of the Epps effect ⋮ Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency ⋮ A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data ⋮ Efficient estimation of integrated volatility functionals via multiscale jackknife ⋮ Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data ⋮ Positive semidefinite integrated covariance estimation, factorizations and asynchronicity ⋮ Efficient and positive semidefinite pre-averaging realized covariance estimator ⋮ Testing against constant factor loading matrix with large panel high-frequency data ⋮ An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps ⋮ Exploiting the errors: a simple approach for improved volatility forecasting ⋮ Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics ⋮ Principal Component Analysis of High-Frequency Data
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