Covariance measurement in the presence of non-synchronous trading and market microstructure noise
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Publication:737261
DOI10.1016/J.JECONOM.2010.03.015zbMATH Open1441.62710OpenAlexW3123021978MaRDI QIDQ737261FDOQ737261
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- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimating covariation: Epps effect, microstructure noise
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Cited in
(27)- Confidence interval for correlation estimator between latent processes
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Modeling tick-by-tick realized correlations
- Bias-correcting the realized range-based variance in the presence of market microstructure 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
- Bootstrapping realized multivariate volatility measures
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- Irregular sampling and central limit theorems for power variations: the continuous case
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
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- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Efficient covariance estimation for asynchronous noisy high-frequency data
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- STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
- Three-point approach for estimating integrated volatility and integrated covariance
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- Estimating covariation: Epps effect, microstructure noise
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
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