Estimating covariation: Epps effect, microstructure noise
From MaRDI portal
Publication:737259
Recommendations
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Efficient covariance estimation for asynchronous noisy high-frequency data
- High-frequency covariance estimates with noisy and asynchronous financial data
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- On estimating the integrated co-volatility using noisy high-frequency data with jumps
Cites work
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 45789 (Why is no real title available?)
- scientific article; zbMATH DE number 1093829 (Why is no real title available?)
- scientific article; zbMATH DE number 6846220 (Why is no real title available?)
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
- scientific article; zbMATH DE number 3227597 (Why is no real title available?)
- A Tale of Two Time Scales
- A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
- A log log law for maximal uniform spacings
- ANOVA for diffusions and Itō processes
- An econometric analysis of nonsynchronous trading
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Bartlett type identities for martingales
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Edgeworth expansions for realized volatility and related estimators
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Laws of the iterated logarithm for order statistics of uniform spacings
- Limit distributions for the error in approximations of stochastic integrals
- Microstructure noise in the continuous case: the pre-averaging approach
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- On mixing and stability of limit theorems
- Probability approximations via the Poisson clumping heuristic
- Subsampling realised kernels
- The Distribution of Realized Exchange Rate Volatility
- Ultra high frequency volatility estimation with dependent microstructure noise
Cited in
(only showing first 100 items - show all)- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- Large-dimensional factor modeling based on high-frequency observations
- Copula estimation for nonsynchronous financial data
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- The asymptotics of the integrated self-weighted cross volatility estimator
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- Volatility models for stylized facts of high‐frequency financial data
- Volatility analysis with realized GARCH-Itô models
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- High-frequency covariance estimates with noisy and asynchronous financial data
- Vast volatility matrix estimation for high-frequency financial data
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Bootstrapping realized multivariate volatility measures
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- Financial modelling with multivariate mixed fractional Brownian motion
- The Epps effect revisited
- Ultra-high-frequency lead-lag relationship and information arrival
- Efficient estimation of integrated volatility functionals under general volatility dynamics
- 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
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- Forecasting realized volatility: a review
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- A CLOSER LOOK AT THE EPPS EFFECT
- Estimation of the lead-lag parameter from non-synchronous data
- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- High-dimensional multivariate realized volatility estimation
- Realized Volatility: A Review
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Realized volatility when sampling times are possibly endogenous
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- The impact of jumps and leverage in forecasting covolatility
- Ultra high frequency volatility estimation with dependent microstructure noise
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- An integrated cross-volatility estimation for asynchronous noisy data
- Sequential monitoring of portfolio betas
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- 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
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Estimation of integrated quadratic covariation with endogenous sampling times
- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- Testing the volatility jumps based on the high frequency data
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- Robust score and portmanteau tests of volatility spillover
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Statistical properties of covariance estimator of microstructure noise: dependence, rare jumps and endogeneity
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
- 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
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Jump robust two time scale covariance estimation and realized volatility budgets
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- Cross-impact of order flow imbalance in equity markets
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- The impact of asynchronous trading on Epps effect on Warsaw stock exchange
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model
- Computational finance: correlation, volatility, and markets
- Volatility analysis in high-frequency financial data
- Co-jumping of treasury yield curve rates
- A closed-form formula characterization of the Epps effect
- State heterogeneity analysis of financial volatility using high-frequency financial data
- A multivariate volatility vine copula model
- Forecasting high-dimensional realized volatility matrices using a factor model
- Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- ETF basket-adjusted covariance estimation
- Review of statistical approaches for modeling high-frequency trading data
- Corrigendum to ``Local mispricing and microstructural noise: a parametric perspective
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- High-frequency-based volatility model with network structure
- Estimating the integrated volatility using high-frequency data with zero durations
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- Robust covariance estimation with noisy high-frequency financial data
This page was built for publication: Estimating covariation: Epps effect, microstructure noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q737259)
