A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data

DOI10.1016/J.JECONOM.2014.01.008MaRDI QIDQ2451774zbMATH OpenOpenAlexFDO

Authors Cheng Liu, Cheng Yong Tang

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

zbMATH Keywords

high-frequency dataintegrated covariance matrixmicrostructure noisesquasi-maximum likelihood

Mathematics Subject Classification ID

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)

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Cited in

(13)

• A rank test for the number of factors with high-frequency data
• Design-free estimation of integrated covariance matrices for high-frequency data
• 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
• Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations
• Asymptotics for the systematic and idiosyncratic volatility with large dimensional 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
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
• Asymptotic normality of kernel density estimation for mixing high-frequency data
• Quasi-maximum likelihood estimation of volatility with high frequency data
• A state space model approach to integrated covariance matrix estimation with high frequency data

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