Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
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Cites work
- scientific article; zbMATH DE number 2149887 (Why is no real title available?)
- A Gaussian calculus for inference from high frequency data
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Analysis of financial time series
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- Central limit theorems for sequences of multiple stochastic integrals
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Estimating covariation: Epps effect, microstructure noise
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- High-frequency covariance estimates with noisy and asynchronous financial data
- Modeling and Forecasting Realized Volatility
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- On almost sure convergence of quadratic Brownian variation
- On covariance estimation of non-synchronously observed diffusion processes
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Realized beta: persistence and predictability
- Realized kernels in practise : trades and quotes
- Sequential conditional correlations: inference and evaluation
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
- The Malliavin Calculus and Related Topics
- The Model Confidence Set
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Cited in
(13)- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Dynamic partial correlation models
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- Realized semicovariances
- 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
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property
- Autoregressive conditional betas
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