High-frequency covariance estimates with noisy and asynchronous financial data
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Publication:5255690
DOI10.1198/JASA.2010.TM10163zbMATH Open1388.62303OpenAlexW2077816703MaRDI QIDQ5255690FDOQ5255690
Authors: Yacine Aït-Sahalia, Dacheng Xiu, Jianqing Fan 
Publication date: 17 June 2015
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2010.tm10163
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- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Volatility analysis with realized GARCH-Itô models
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- Structured volatility matrix estimation for non-synchronized high-frequency financial data
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Estimating the integrated volatility using high-frequency data with zero durations
- Estimation of the realized (co-)volatility vector: large deviations approach
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
- Resolution of degeneracy in Merton's portfolio problem
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
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- Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
- Volatility models for stylized facts of high‐frequency financial data
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- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Large-dimensional factor modeling based on high-frequency observations
- Portfolio optimization with ambiguous correlation and stochastic volatilities
- Copula estimation for nonsynchronous financial data
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
- How to handle noisy labels for robust learning from uncertainty
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- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
- Forecasting realized volatility: a review
- Sequential estimation of Spearman rank correlation using Hermite series estimators
- Econometrics of co-jumps in high-frequency data with noise
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- On estimating the integrated co-volatility using noisy high-frequency data with jumps
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Estimation of integrated quadratic covariation with endogenous sampling times
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- Principal Component Analysis of High-Frequency Data
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- A new method to estimate the noise in financial correlation matrices
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- High-dimensional covariance forecasting for short intra-day horizons
- Estimating covariation: Epps effect, microstructure noise
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Conditional quantile analysis for realized GARCH models
- Overnight GARCH-Itô Volatility Models
- Local Parametric Estimation in High Frequency Data
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- A closed-form formula characterization of the Epps effect
- Laws of large numbers for Hayashi-Yoshida-type functionals
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
- Permutation invariant Gaussian matrix models for financial correlation matrices
- Normally distributed high-frequency returns: a subordination approach
- Computational finance: correlation, volatility, and markets
- Volatility analysis in high-frequency financial data
- A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes
- Robust covariance estimation with noisy high-frequency financial data
- High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
- The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
- A Bayesian semiparametric vector multiplicative error model
- Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
- Inference for calendar effects in microstructure noise
- Jump robust two time scale covariance estimation and realized volatility budgets
- Determining the integrated volatility via limit order books with multiple records
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- High-dimensional realized covariance estimation: a parametric approach
- High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process
- A Markov chain estimator of multivariate volatility from high frequency data
- State heterogeneity analysis of financial volatility using high-frequency financial data
- ETF basket-adjusted covariance estimation
- Review of statistical approaches for modeling high-frequency trading data
- Unveiling the relation between herding and liquidity with trader lead-lag networks
- Confidence interval for correlation estimator between latent processes
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