A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
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Publication:2451774
DOI10.1016/j.jeconom.2014.01.008zbMath1293.91196OpenAlexW2035342544MaRDI QIDQ2451774
Publication date: 4 June 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.01.008
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (8)
Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading ⋮ Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data ⋮ Optimal covariance matrix estimation for high-dimensional noise in high-frequency data ⋮ Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency ⋮ Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading ⋮ Time endogeneity and an optimal weight function in pre-averaging covariance estimation ⋮ A rank test for the number of factors with high-frequency data ⋮ Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data
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