Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
From MaRDI portal
(Redirected from Publication:5475035)
Recommendations
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Econometric analysis of high frequency data
- High-dimensional multivariate realized volatility estimation
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Estimation of the realized (co-)volatility vector: large deviations approach
Cited in
(only showing first 100 items - show all)- Power variation for Gaussian processes with stationary increments
- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- Long memory behavior of returns after intraday financial jumps
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- Mixed-scale jump regressions with bootstrap inference
- Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
- Asymptotic inference about predictive accuracy using high frequency data
- Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- New distribution theory for the estimation of structural break point in mean
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies
- Volatility estimation of general Gaussian Ornstein-Uhlenbeck process
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Continuous record Laplace-based inference about the break date in structural change models
- Managing liquidity with portfolio staleness
- Volatility coupling
- Realized cumulants for martingales
- A weak law of large numbers for realised covariation in a Hilbert space setting
- Unrestricted maximum likelihood estimation of multivariate realized volatility models
- Comparing unconstrained parametrization methods for return covariance matrix prediction
- A CLT for second difference estimators with an application to volatility and intensity
- Variation and efficiency of high-frequency betas
- Equity clusters through the lens of realized semicorrelations
- Testing the eigenvalue structure of spot and integrated covariance
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- Multivariate leverage effects and realized semicovariance GARCH models
- Statistical inferences for price staleness
- Volatility regressions with fat tails
- Indirect inference in fractional short-term interest rate diffusions
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- Mean-variance portfolio selection with correlation risk
- Zero covariation returns
- Nonparametric spot volatility from options
- Confidence interval for correlation estimator between latent processes
- High-frequency factor models and regressions
- Large-scale portfolio allocation under transaction costs and model uncertainty
- Bipower variation with jumps and correlated returns
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
- Financial interpretation of herd behavior index and its statistical estimation
- Vast volatility matrix estimation for high-frequency financial data
- Comment: A selective overview of nonparametric methods in financial econometrics
- Adaptive estimation of continuous-time regression models using high-frequency data
- Estimation of the realized (co-)volatility vector: large deviations approach
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
- Estimating correlation from high, low, opening and closing prices
- Modeling tick-by-tick realized correlations
- Power variation of multiple fractional integrals
- Sequential monitoring of minimum variance portfolio
- Efficient estimation of drift parameters in stochastic volatility models
- Limit theorems for multipower variation in the presence of jumps
- Testing stationarity of functional time series
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Scalable inference for a full multivariate stochastic volatility model
- Estimating dynamic copula dependence using intraday data
- Identifying latent factors based on high-frequency data
- Analysis of high dimensional multivariate stochastic volatility models
- Institutional investors and the dependence structure of asset returns
- Fire sales forensics: measuring endogenous risk
- Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets
- Inference theory for volatility functional dependencies
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- A functional version of the ARCH model
- Estimation of quarticity with high-frequency data
- Measuring large comovements in financial markets
- Three-point approach for estimating integrated volatility and integrated covariance
- An integrated cross-volatility estimation for asynchronous noisy data
- Sequentiel testing for the stability of high-frequency portfolio betas
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Model selection for volatility prediction
- A Markov chain estimator of multivariate volatility from high frequency data
- Robust estimation of a high-dimensional integrated covariance matrix
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Sequential Monte Carlo methods for stochastic volatility models: a review
- Random aggregation with applications in high-frequency finance
- High-dimensional covariance forecasting for short intra-day horizons
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Univariate and multivariate value-at-risk: application and implication in energy markets
- Hedging (co)variance risk with variance swaps
- Estimation of correlation for continuous semimartingales
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Realized Volatility: A Review
- The Volatility of Realized Volatility
- Using High-Frequency Data in Dynamic Portfolio Choice
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- scientific article; zbMATH DE number 5480761 (Why is no real title available?)
- Bipower Variation for Gaussian Processes with Stationary Increments
- Fractional integration versus level shifts: the case of realized asset correlations
- On the estimation of integrated covariance matrices of high dimensional diffusion processes
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
- Disentangling the role of variance and covariance information in portfolio selection problems
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
- Limited information-processing capacity and asymmetric stock correlations
This page was built for publication: Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5475035)
