Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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Cited in
(only showing first 100 items - show all)- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
- Random aggregation with applications in high-frequency finance
- Model selection for volatility prediction
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- Realized Volatility: A Review
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- Using High-Frequency Data in Dynamic Portfolio Choice
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
- Sequentiel testing for the stability of high-frequency portfolio betas
- An early-warning risk signals framework to capture systematic risk in financial markets
- Spot beta estimation with asynchronous noisy prices
- Functional modelling of volatility in the Swedish limit order book
- Unrestricted maximum likelihood estimation of multivariate realized volatility models
- Exploiting the errors: a simple approach for improved volatility forecasting
- Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- The Volatility of Realized Volatility
- A generalized heterogeneous autoregressive model using market information
- Multivariate leverage effects and realized semicovariance GARCH models
- Are tightened trading rules always bad? Evidence from the Chinese index futures market
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Multipower variation for Brownian semistationary processes
- A Law of Large Numbers for the Power Variation of Fractional Lévy Processes
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Cross-sectional dependence in idiosyncratic volatility
- Cholesky-GARCH models with applications to finance
- Targeting market neutrality
- Volatility forecast comparison using imperfect volatility proxies
- A closed-form formula characterization of the Epps effect
- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- Efficient estimation of drift parameters in stochastic volatility models
- Institutional investors and the dependence structure of asset returns
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Testing stationarity of functional time series
- A multivariate volatility vine copula model
- Consistent estimation of covariation under nonsynchronicity
- Volatility estimation of general Gaussian Ornstein-Uhlenbeck process
- Variation and efficiency of high-frequency betas
- Multivariate elliptic processes
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
- Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- Realized regression with asynchronous and noisy high frequency and high dimensional data
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Inference theory for volatility functional dependencies
- Disentangling the role of variance and covariance information in portfolio selection problems
- Cross-correlating wavelet coefficients with applications to high-frequency financial time series
- Long memory behavior of returns after intraday financial jumps
- Estimation of the realized (co-)volatility vector: large deviations approach
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility
- Equity clusters through the lens of realized semicorrelations
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Asymptotic inference about predictive accuracy using high frequency data
- A reexamination of stock return predictability
- Integrated volatility estimation: the case of observed noise variables
- A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
- scientific article; zbMATH DE number 7660124 (Why is no real title available?)
- Power variation of some integral fractional processes
- Time series models for realized covariance matrices based on the matrix-F distribution
- New distribution theory for the estimation of structural break point in mean
- Power variation for Gaussian processes with stationary increments
- Nonsynchronous covariation process and limit theorems
- Econometric analysis of high frequency data
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Sequential monitoring of portfolio betas
- On the use of high frequency measures of volatility in MIDAS regressions
- Forecasting multivariate realized stock market volatility
- A local Gaussian bootstrap method for realized volatility and realized beta
- Nonparametric spot volatility from options
- Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets
- A functional version of the ARCH model
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
- Cryptocurrency systematic risk dynamics
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Modeling tick-by-tick realized correlations
- Volatility regressions with fat tails
- Adaptive estimation of continuous-time regression models using high-frequency data
- Goodness-of-fit tests for centralized Wishart processes
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
- Limit theorems for multivariate Brownian semistationary processes and feasible results
- Bootstrapping realized multivariate volatility measures
- Bayesian semiparametric modeling of realized covariance matrices
- Sequential Monte Carlo methods for stochastic volatility models: a review
- Continuous record asymptotics for change-point models
- Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
- Univariate and multivariate value-at-risk: application and implication in energy markets
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- The conditional autoregressive Wishart model for multivariate stock market volatility
- scientific article; zbMATH DE number 7387568 (Why is no real title available?)
- Nonparametric estimation of large spot volatility matrices for high-frequency financial data
- A Cramér-von Mises-type statistic for identifying jump variations in high-frequency time series
- On the convergence of two types of estimators of quadratic variation
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