Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
From MaRDI portal
Publication:737896
DOI10.1016/J.JECONOM.2010.07.009zbMATH Open1441.62599OpenAlexW3123224097MaRDI QIDQ737896FDOQ737896
Authors: Peter Reinhard Hansen, Asger Lunde, Ole E. Barndorff-Nielsen, Neil Shephard 
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.07.009
Recommendations
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- High-dimensional multivariate realized volatility estimation
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Efficient covariance estimation for asynchronous noisy high-frequency data
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- Title not available (Why is that?)
- Title not available (Why is that?)
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Title not available (Why is that?)
- The Distribution of Realized Exchange Rate Volatility
- Microstructure noise in the continuous case: the pre-averaging approach
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- A multiple indicators model for volatility using intra-daily data
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Title not available (Why is that?)
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Realized volatility forecasting and market microstructure noise
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Statistical methods in finance
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- On covariance estimation of non-synchronously observed diffusion processes
- Fourier series method for measurement of multivariate volatilities
- Irregular sampling and central limit theorems for power variations: the continuous case
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Inference for Continuous Semimartingales Observed at High Frequency
- Realized kernels in practise : trades and quotes
- Statistics and high-frequency data
- Power Variation and Time Change
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Causality effects in return volatility measures with random times
- Variation, jumps and high-frequency data in financial econometrics
- Moving Average-Based Estimators of Integrated Variance
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- Bootstrapping Realized Volatility
- ANOVA for diffusions and Itō processes
- Bootstrapping realized multivariate volatility measures
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- A CLOSER LOOK AT THE EPPS EFFECT
Cited In (only showing first 100 items - show all)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Sequentiel testing for the stability of high-frequency portfolio betas
- Vast portfolio selection with gross-exposure constraints
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Asymptotically efficient estimation for diffusion processes with nonsynchronous observations
- Stochastic volatility and stochastic leverage
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
- Modeling tick-by-tick realized correlations
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- Bootstrapping realized multivariate volatility measures
- Efficient estimation of integrated volatility incorporating trading information
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- Realized kernels in practise : trades and quotes
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Copula estimation for nonsynchronous financial data
- Large-scale portfolio allocation under transaction costs and model uncertainty
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- The impact of jumps and leverage in forecasting covolatility
- Dynamic modeling of high-dimensional correlation matrices in finance
- On the estimation of integrated covariance matrices of high dimensional diffusion processes
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
- Irregular sampling and central limit theorems for power variations: the continuous case
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Efficient covariance estimation for asynchronous noisy high-frequency data
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
- Forecasting realized volatility: a review
- High-dimensional multivariate realized volatility estimation
- Econometrics of co-jumps in high-frequency data with noise
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- Vast volatility matrix estimation for high-frequency financial data
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Estimation of integrated quadratic covariation with endogenous sampling times
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- 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
- Inference from high-frequency data: a subsampling approach
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
- Estimating covariation: Epps effect, microstructure noise
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Realized volatility forecasting and market microstructure noise
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
- On loss functions and ranking forecasting performances of multivariate volatility models
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- An integrated framework for visualizing and forecasting realized covariance matrices
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- From zero to hero: realized partial (co)variances
- A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
- Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- A closed-form formula characterization of the Epps effect
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Laws of large numbers for Hayashi-Yoshida-type functionals
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- 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
- Structured volatility matrix estimation for non-synchronized high-frequency financial data
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Estimating the integrated volatility with tick observations
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- Estimating the integrated volatility using high-frequency data with zero durations
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- Misspecified diffusion models with high-frequency observations and an application to neural networks
- Assessing the quality of volatility estimators via option pricing
- Testing for nonlinearity in conditional covariances
- Bayesian semiparametric modeling of realized covariance matrices
- Robust covariance estimation with noisy high-frequency financial data
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- High-frequency returns, jumps and the mixture of normals hypothesis
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Large-dimensional factor modeling based on high-frequency observations
Uses Software
This page was built for publication: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q737896)
