Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
DOI10.1016/J.JECONOM.2016.09.016zbMATH Open1403.62095OpenAlexW4391010958WikidataQ114161736 ScholiaQ114161736MaRDI QIDQ503579FDOQ503579
Authors: Rogier Quaedvlieg, Orimar Sauri, Sébastien Laurent, Asger Lunde, Leopoldo Catania 
Publication date: 13 January 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/70843401/rp14_05.pdf
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Cites Work
- The Model Confidence Set
- Quasi-maximum likelihood estimation of volatility with high frequency data
- The Malliavin Calculus and Related Topics
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- High-frequency covariance estimates with noisy and asynchronous financial data
- Modeling and Forecasting Realized Volatility
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Estimating covariation: Epps effect, microstructure noise
- Central limit theorems for sequences of multiple stochastic integrals
- Title not available (Why is that?)
- On covariance estimation of non-synchronously observed diffusion processes
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Realized kernels in practise : trades and quotes
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- A Gaussian calculus for inference from high frequency data
- Analysis of financial time series
- Realized beta: persistence and predictability
- On almost sure convergence of quadratic Brownian variation
- Sequential conditional correlations: inference and evaluation
Cited In (13)
- Dynamic partial correlation models
- Realized semicovariances
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property
- Autoregressive conditional betas
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- ETF basket-adjusted covariance estimation
- Volatility estimation and jump detection for drift-diffusion processes
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
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