High-dimensional realized covariance estimation: a parametric approach

DOI10.1080/14697688.2022.2111267MaRDI QIDQ5051983zbMATH OpenOpenAlexFDO

Authors Giuseppe Buccheri, G. Mboussa Anga

Publication date 18 November 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2022.2111267

zbMATH Keywords

epps effecthigh-dimensionsrealized covariancerisk management

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

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• Evaluating Volatility and Correlation Forecasts
• Exploiting the errors: a simple approach for improved volatility forecasting
• High-frequency covariance estimates with noisy and asynchronous financial data
• scientific article; zbMATH DE number 48318 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
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• Maximum Likelihood Estimation of Misspecified Models
• 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
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Principal Component Analysis of High-Frequency Data
• Realized kernels in practise : trades and quotes
• STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
• The Model Confidence Set
• Time series analysis by state space methods.
• Using principal component analysis to estimate a high dimensional factor model with high-frequency data

Cited in

(2)

• High-dimensional estimation of quadratic variation based on penalized realized variance
• When to efficiently rebalance a portfolio

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