Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
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- scientific article; zbMATH DE number 889593 (Why is no real title available?)
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Cited in
(13)- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- High-frequency covariance estimates with noisy and asynchronous financial data
- Design-free estimation of integrated covariance matrices for high-frequency data
- High-dimensional integrated volatility matrix estimation for high-frequency financial data with jumps
- A state space model approach to integrated covariance matrix estimation with high frequency data
- High-dimensional integrated volatility matrix estimation for high-frequency financial data
- Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data
- Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data
- Efficient covariance estimation for asynchronous noisy high-frequency data
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations
- Robust estimation of a high-dimensional integrated covariance matrix
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