Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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Cited in
(only showing first 100 items - show all)- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
- An integrated framework for visualizing and forecasting realized covariance matrices
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- The influence of intraday seasonality on volatility transmission pattern
- Realized semicovariances
- Sequentiel testing for the stability of high-frequency portfolio betas
- From zero to hero: realized partial (co)variances
- Vast portfolio selection with gross-exposure constraints
- 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
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Stochastic volatility and stochastic leverage
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- Efficient and positive semidefinite pre-averaging realized covariance estimator
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- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
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