Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?

DOI10.1080/07474930701873333MaRDI QIDQ3539873zbMATH OpenOpenAlexFDO

Authors Michiel de Pooter, Martin Martens, Dick van Dijk

Publication date 19 November 2008

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930701873333

zbMATH Keywords

realized volatilitymean-variance analysisbias-correctionhigh-frequency datatracking errorvolatility timing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Statistical methods; economic indices and measures (91B82)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Tale of Two Time Scales
• An econometric analysis of nonsynchronous trading
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Modeling and Forecasting Realized Volatility
• On covariance estimation of non-synchronously observed diffusion processes
• Semi-parametric modelling of correlation dynamics
• The Distribution of Realized Exchange Rate Volatility
• Using High-Frequency Data in Dynamic Portfolio Choice

Cited in

(17)

• Realized Volatility: A Review
• Using High-Frequency Data in Dynamic Portfolio Choice
• On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
• The influence of intraday seasonality on volatility transmission pattern
• Optimal sampling frequency for high frequency data using a finite mixture model
• Jump robust daily covariance estimation by disentangling variance and correlation components
• Equity portfolio diversification with high frequency data
• Disentangling the role of variance and covariance information in portfolio selection problems
• Realized Volatility and Long Memory: An Overview
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Realized volatility forecasting and option pricing
• Assessing the quality of volatility estimators via option pricing
• Dynamic modeling of high-dimensional correlation matrices in finance
• How often to sample a continuous-time process in the presence of market microstructure noise
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
• Jump robust two time scale covariance estimation and realized volatility budgets
• Comparing unconstrained parametrization methods for return covariance matrix prediction

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