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
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- Vast portfolio selection with gross-exposure constraints
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
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- Sequentiel testing for the stability of high-frequency portfolio betas
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- 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
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- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Vast volatility matrix estimation for high-frequency financial data
- Large-scale portfolio allocation under transaction costs and model uncertainty
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Bootstrapping realized multivariate volatility measures
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- 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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- Jumps and betas: a new framework for disentangling and estimating systematic risks
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