Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
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Publication:326850
DOI10.1016/J.SPA.2016.05.004zbMATH Open1367.62283OpenAlexW2354275877MaRDI QIDQ326850FDOQ326850
Yazhen Wang, Donggyu Kim, Jian Zou
Publication date: 12 October 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2016.05.004
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thresholdregularizationsparsitydiffusionintegrated volatilitykernel realized volatilitymulti-scale realized volatilitypre-averaging realized volatility
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (28)
- An integrated framework for visualizing and forecasting realized covariance matrices
- Conditional quantile analysis for realized GARCH models
- Overnight GARCH-Itô Volatility Models
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Statistical inference for unified Garch-Itô models with high-frequency financial data
- Volatility analysis with realized GARCH-Itô models
- 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
- State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
- Robust covariance estimation with noisy high-frequency financial data
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Title not available (Why is that?)
- 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
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- 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
- Likelihood theory for the graph Ornstein-Uhlenbeck process
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