Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
DOI10.1111/J.1468-0262.2004.00515.XzbMATH Open1141.91634OpenAlexW2155804346MaRDI QIDQ5475035FDOQ5475035
Authors: Ole E. Barndorff-Nielsen, Neil Shephard
Publication date: 16 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00515.x
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Cited In (only showing first 100 items - show all)
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Exploiting the errors: a simple approach for improved volatility forecasting
- A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
- Functional modelling of volatility in the Swedish limit order book
- Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
- Multivariate leverage effects and realized semicovariance GARCH models
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- A closed-form formula characterization of the Epps effect
- Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series
- Efficient estimation of drift parameters in stochastic volatility models
- A multivariate volatility vine copula model
- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Volatility estimation of general Gaussian Ornstein-Uhlenbeck process
- Variation and efficiency of high-frequency betas
- Long memory behavior of returns after intraday financial jumps
- A reexamination of stock return predictability
- Equity clusters through the lens of realized semicorrelations
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS
- New distribution theory for the estimation of structural break point in mean
- Econometric analysis of high frequency data
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
- Adaptive estimation of continuous-time regression models using high-frequency data
- Limit theorems for multivariate Brownian semistationary processes and feasible results
- Bayesian semiparametric modeling of realized covariance matrices
- Sequential Monte Carlo methods for stochastic volatility models: a review
- High-dimensional estimation of quadratic variation based on penalized realized variance
- Testing the eigenvalue structure of spot and integrated covariance
- Continuous record Laplace-based inference about the break date in structural change models
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- Managing liquidity with portfolio staleness
- Fire sales forensics: measuring endogenous risk
- Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Robust estimation of a high-dimensional integrated covariance matrix
- Volatility coupling
- Financial interpretation of herd behavior index and its statistical estimation
- Mixed-scale jump regressions with bootstrap inference
- Measuring large comovements in financial markets
- The Gibbs sampler with particle efficient importance sampling for state-space models*
- Comparing unconstrained parametrization methods for return covariance matrix prediction
- Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
- Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
- Bipower variation with jumps and correlated returns
- Volatility estimation in fractional Ornstein-Uhlenbeck models
- Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets
- A weak law of large numbers for realised covariation in a Hilbert space setting
- High-frequency factor models and regressions
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Estimation of quarticity with high-frequency data
- Statistical inferences for price staleness
- Dynamic principal component CAW models for high-dimensional realized covariance matrices
- A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
- A CLT for second difference estimators with an application to volatility and intensity
- Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- A generalized heterogeneous autoregressive model using market information
- Are tightened trading rules always bad? Evidence from the Chinese index futures market
- Targeting market neutrality
- Multivariate elliptic processes
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Institutional investors and the dependence structure of asset returns
- Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
- 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
- Disentangling the role of variance and covariance information in portfolio selection problems
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility
- A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
- Title not available (Why is that?)
- Time series models for realized covariance matrices based on the matrix-F distribution
- Model Selection for Volatility Prediction
- Cryptocurrency systematic risk dynamics
- 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
- Intraday Data vs Daily Data to Forecast Volatility in Financial Markets
- Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
- Title not available (Why is that?)
- On the convergence of two types of estimators of quadratic variation
- Multiple measures realized GARCH models
- Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
- Intraday cross-sectional distributions of systematic risk
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
- Autoregressive conditional betas
- Systematic jump risk
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
- An Econometric Analysis of Volatility Discovery
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
- Forecasting high-dimensional realized volatility matrices using a factor model
- Rank Tests at Jump Events
- Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
- Bootstrapping Laplace transforms of volatility
- Scalable inference for a full multivariate stochastic volatility model
- Co-jumping of treasury yield curve rates
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