Estimating covariation: Epps effect, microstructure noise
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Cited in
(only showing first 100 items - show all)- Estimation of integrated quadratic covariation with endogenous sampling times
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
- Three-point approach for estimating integrated volatility and integrated covariance
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
- The asymptotics of the integrated self-weighted cross volatility estimator
- A Gaussian calculus for inference from high frequency data
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Realized Volatility: A Review
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- Testing the volatility jumps based on the high frequency data
- Conditional quantile analysis for realized GARCH models
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Volatility analysis with realized GARCH-Itô models
- High-frequency covariance estimates with noisy and asynchronous financial data
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- 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
- 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
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Structured volatility matrix estimation for non-synchronized high-frequency financial data
- A multivariate volatility vine copula model
- Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- 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
- Realized regression with asynchronous and noisy high frequency and high dimensional data
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Statistical properties of covariance estimator of microstructure noise: dependence, rare jumps and endogeneity
- Estimating the integrated volatility using high-frequency data with zero durations
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- 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
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- Ultra-high-frequency lead-lag relationship and information arrival
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- Ultra high frequency volatility estimation with dependent microstructure noise
- Sequential monitoring of portfolio betas
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Volatility models for stylized facts of high‐frequency financial data
- Computational finance: correlation, volatility, and markets
- Volatility analysis in high-frequency financial data
- Bootstrapping realized multivariate volatility measures
- A CLOSER LOOK AT THE EPPS EFFECT
- Robust covariance estimation with noisy high-frequency financial data
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Large-dimensional factor modeling based on high-frequency observations
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- The Epps effect revisited
- Realized volatility when sampling times are possibly endogenous
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
- Copula estimation for nonsynchronous financial data
- Forecasting high-dimensional realized volatility matrices using a factor model
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- The impact of jumps and leverage in forecasting covolatility
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
- An integrated cross-volatility estimation for asynchronous noisy data
- Forecasting realized volatility: a review
- Robust score and portmanteau tests of volatility spillover
- Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
- Financial modelling with multivariate mixed fractional Brownian motion
- High-frequency-based volatility model with network structure
- High-dimensional multivariate realized volatility estimation
- Jump robust two time scale covariance estimation and realized volatility budgets
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- Efficient estimation of integrated volatility functionals under general volatility dynamics
- Co-jumping of treasury yield curve rates
- Estimation of the lead-lag parameter from non-synchronous data
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- Corrigendum to ``Local mispricing and microstructural noise: a parametric perspective
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- The impact of asynchronous trading on Epps effect on Warsaw stock exchange
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