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

Jump to:navigation, search

DOI10.1016/j.jeconom.2010.07.009zbMath1441.62599OpenAlexW3123224097MaRDI QIDQ737896

Peter Reinhard Hansen, Asger Lunde, Neil Shephard, Ole Eiler Barndorff-Nielsen

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

zbMATH Keywords

market frictions quadratic variation realised variance long run variance estimator HAC estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity, Modeling and forecasting realized covariance matrices with accounting for leverage, Network-adaptive robust penalized estimation of time-varying coefficient models with longitudinal data, Robust covariance estimation with noisy high-frequency financial data, High-dimensional realized covariance estimation: a parametric approach, Time series models for realized covariance matrices based on the matrix-F distribution, Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model, Firm’s Volatility Risk Under Microstructure Noise, On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?, Conditional quantile analysis for realized GARCH models, Adaptive robust large volatility matrix estimation based on high-frequency financial data, ETF basket-adjusted covariance estimation, Review of statistical approaches for modeling high-frequency trading data, Copula estimation for nonsynchronous financial 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, Systematic staleness, Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model, Asymptotically efficient estimation for diffusion processes with nonsynchronous observations, Nonparametric estimation for high-frequency data incorporating trading information, Unnamed Item, A closed-form formula characterization of the Epps effect, ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS, A two-step estimation of diffusion processes using noisy observations, FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA, Efficient and positive semidefinite pre-averaging realized covariance estimator, VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS, Spectral Estimation of Covolatility from Noisy Observations Using Local Weights, Vast Portfolio Selection With Gross-Exposure Constraints, ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS, Jump robust two time scale covariance estimation and realized volatility budgets, Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error, Bayesian semiparametric modeling of realized covariance matrices, Forecasting high-dimensional realized volatility matrices using a factor model, Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model, Principal Component Analysis of High-Frequency Data, The influence of intraday seasonality on volatility transmission pattern, Dynamic principal component CAW models for high-dimensional realized covariance matrices, Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models, On the estimation of integrated volatility in the presence of jumps and microstructure noise, GMM estimation of a realized stochastic volatility model: A Monte Carlo study, The impact of jumps and leverage in forecasting covolatility, On a spiked model for large volatility matrix estimation from noisy high-frequency data, An integrated framework for visualizing and forecasting realized covariance matrices, Inference for time-varying lead-lag relationships from ultra-high-frequency data, Forecasting realized volatility: a review, 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, Robust ranking of multivariate GARCH models by problem dimension, DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE, Estimating integrated co-volatility with partially miss-ordered high frequency data, Increased correlation among asset classes: are volatility or jumps to blame, or both?, Efficient estimation of integrated volatility incorporating trading information, Vast volatility matrix estimation for high-frequency financial data, SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS, Sparse PCA-based on high-dimensional Itô processes with measurement errors, Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data, Asymptotic theory for large volatility matrix estimation based on high-frequency financial data, Volatility forecasting of strategically linked commodity ETFs: gold-silver, Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity, Managing risk with a realized copula parameter, A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data, Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading, Using principal component analysis to estimate a high dimensional factor model with high-frequency data, A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data, Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors, Jump robust daily covariance estimation by disentangling variance and correlation components, On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes, Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance, Local asymptotic mixed normality property for nonsynchronously observed diffusion processes, Estimation of integrated volatility of volatility with applications to goodness-of-fit testing, Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling, A Markov Chain Estimator of Multivariate Volatility from High Frequency Data, Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data, A tractable state-space model for symmetric positive-definite matrices, Rejoinder: ``A tractable state-space model for symmetric positive-definite matrices, Hellinger distance and non-informative priors, Long memory and asymmetry for matrix-exponential dynamic correlation processes, Testing for nonlinearity in conditional covariances, Identifying latent factors based on high-frequency data, Irregular sampling and central limit theorems for power variations: the continuous case, An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory, How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?, Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data, Dynamic hedging with futures: a copula-based GARCH model with high-frequency data, On the estimation of integrated covariance matrices of high dimensional diffusion processes, Modeling tick-by-tick realized correlations, Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency, ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS, Stochastic volatility and stochastic leverage, A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data, Efficient estimation of integrated volatility functionals via multiscale jackknife, Large-dimensional factor modeling based on high-frequency observations, Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data, Estimating the integrated volatility with tick observations, Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction, Structured volatility matrix estimation for non-synchronized high-frequency financial data, Misspecified diffusion models with high-frequency observations and an application to neural networks, Positive semidefinite integrated covariance estimation, factorizations and asynchronicity, Estimation of integrated quadratic covariation with endogenous sampling times, Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading, Glivenko-Cantelli theorems for integrated functionals of stochastic processes, Estimating the integrated volatility using high-frequency data with zero durations, Inference from high-frequency data: a subsampling approach, Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise, Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data, On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations, Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures, Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations, Time endogeneity and an optimal weight function in pre-averaging covariance estimation, Bootstrapping realized multivariate volatility measures, 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, Laws of large numbers for Hayashi-Yoshida-type functionals, The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling, An Unbiased Measure of Integrated Volatility in the Frequency Domain, Second-order asymptotic expansion for a non-synchronous covariation estimator, Assessing the quality of volatility estimators via option pricing, Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions, Jumps and betas: a new framework for disentangling and estimating systematic risks, Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data, Estimating covariation: Epps effect, microstructure noise, Covariance measurement in the presence of non-synchronous trading and market microstructure noise, High-frequency returns, jumps and the mixture of normals hypothesis, Realized volatility forecasting and market microstructure noise, High-dimensional minimum variance portfolio estimation based on high-frequency data, Quasi-likelihood analysis for nonsynchronously observed diffusion processes, Functional stable limit theorems for quasi-efficient spectral covolatility estimators, Confidence interval for correlation estimator between latent processes, Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise, Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing, Realized kernels in practice: trades and quotes, High-dimensional multivariate realized volatility estimation, Large-scale portfolio allocation under transaction costs and model uncertainty, Design-free estimation of integrated covariance matrices for high-frequency data, Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency, Econometrics of co-jumps in high-frequency data with noise, From zero to hero: realized partial (co)variances, Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing, Estimation of quarticity with high-frequency data, Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers, Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps

Uses Software

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:737896&oldid=12658811"