scientific article; zbMATH DE number 7387568

DOI10.11329/JJSSJ.49.241MaRDI QIDQ5011497zbMATH OpenFDO

Authors Hideto Shigemoto, Takayuki Morimoto

Publication date 27 August 2021

Full work available at URL https://doi.org/10.11329/JJSSJ.49.241

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A CLOSER LOOK AT THE EPPS EFFECT
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
• Covariance regularization by thresholding
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• High-dimensional covariance estimation
• High-dimensional graphs and variable selection with the Lasso
• Inference in high-dimensional graphical models
• Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
• Model selection and estimation in the Gaussian graphical model
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• On covariance estimation of non-synchronously observed diffusion processes
• Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
• Partial correlation estimation by joint sparse regression models
• Regularized estimation of large covariance matrices
• Sparse inverse covariance estimation with the graphical lasso
• The network origins of aggregate fluctuations
• Vast volatility matrix estimation for high-frequency financial data
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

Describes a project that uses

Uses Software

• glasso

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