Modeling tick-by-tick realized correlations
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Publication:2445693
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Cites work
- scientific article; zbMATH DE number 3860199 (Why is no real title available?)
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 5198657 (Why is no real title available?)
- A Tale of Two Time Scales
- A general multivariate threshold GARCH model with dynamic conditional correlations
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Long memory and regime switching
- Long memory in continuous-time stochastic volatility models
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Modeling and Forecasting Realized Volatility
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On covariance estimation of non-synchronously observed diffusion processes
- The Distribution of Realized Exchange Rate Volatility
- The Stationary Bootstrap
- The Volatility of Realized Volatility
- The benefits of bagging for forecast models of realized volatility
- The jackknife and the bootstrap for general stationary observations
- Tree-structured generalized autoregressive conditional heteroscedastic models
Cited in
(8)- Jump robust daily covariance estimation by disentangling variance and correlation components
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Managing risk with a realized copula parameter
- Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
- Estimating dynamic copula dependence using intraday data
- Fractional integration versus level shifts: the case of realized asset correlations
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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