On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?

DOI10.1080/03610918.2019.1643882MaRDI QIDQ5086397zbMATH OpenOpenAlexFDO

Authors Erindi Allaj, Maria Elvira Mancino

Publication date 5 July 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1643882

zbMATH Keywords

asset-allocationfinancial performance measureshigh-frequency datanon-parametric covariance estimators

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Fourier transform method for nonparametric estimation of multivariate volatility
• A Tale of Two Time Scales
• Computing efficient frontiers using estimated parameters
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Estimating covariation: Epps effect, microstructure noise
• Estimating the integrated volatility using high-frequency data with zero durations
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
• Fourier series method for measurement of multivariate volatilities
• Fourier volatility forecasting with high-frequency data and microstructure noise
• Fourier-Malliavin Volatility Estimation
• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency 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 covariance estimation of non-synchronously observed diffusion processes
• On the maximum drawdown of a Brownian motion
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Optimization Methods in Finance
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
• Realized kernels in practise : trades and quotes
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• Statistical methods in finance
• Theory of Financial Risk and Derivative Pricing
• Using High-Frequency Data in Dynamic Portfolio Choice
• Volatility forecasting and microstructure noise

Cited in

(1)

• Integrated volatility estimation: the case of observed noise variables

This page was built for publication: On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5086397)