Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
From MaRDI portal
Publication:6574633
DOI10.1002/ASMB.2476MaRDI QIDQ6574633FDOQ6574633
Authors: Stefano Peluso, Antonietta Mira, Pietro Muliere
Publication date: 18 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Cites Work
- Exact mean integrated squared error
- Quasi-maximum likelihood estimation of volatility with high frequency data
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- On Gibbs sampling for state space models
- A simple and efficient simulation smoother for state space time series analysis
- Sampling-Based Approaches to Calculating Marginal Densities
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- The simulation smoother for time series models
- High-frequency covariance estimates with noisy and asynchronous financial data
- Monte Carlo sampling methods using Markov chains and their applications
- Robust Kalman tracking and smoothing with propagating and non-propagating outliers
- Multivariate Stochastic Variance Models
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Equation of state calculations by fast computing machines
- Microstructure noise in the continuous case: the pre-averaging approach
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Mixture Kalman Filters
- Title not available (Why is that?)
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Markov chain Monte Carlo in conditionally Gaussian state space models
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Sensitivity Analysis for Mean-Variance Portfolio Problems
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Title not available (Why is that?)
- Shape bias of robust covariance estimators: an empirical study
- Modeling tick-by-tick realized correlations
- Fractional integration versus level shifts: the case of realized asset correlations
- On the correlation structure of microstructure noise: a financial economic approach
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter
- Sequential monitoring of portfolio betas
- State space mixed models for longitudinal observations with binary and binomial responses
- Title not available (Why is that?)
- Generalized dynamic linear models for financial time series
This page was built for publication: Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6574633)