Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
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Cites work
- scientific article; zbMATH DE number 1076783 (Why is no real title available?)
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Cited in
(30)- An integrated framework for visualizing and forecasting realized covariance matrices
- Conditional quantile analysis for realized GARCH models
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Volatility analysis with realized GARCH-Itô models
- Overnight GARCH-Itô Volatility Models
- Statistical inference for unified Garch-Itô models with high-frequency financial data
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- Structured volatility matrix estimation for non-synchronized high-frequency financial data
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- Robust covariance estimation with noisy high-frequency financial data
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- scientific article; zbMATH DE number 7387568 (Why is no real title available?)
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
- Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- Identifying latent factors based on high-frequency data
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
- State heterogeneity analysis of financial volatility using high-frequency financial data
- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- Likelihood theory for the graph Ornstein-Uhlenbeck process
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