Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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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
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Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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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
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- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
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- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
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- Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
- Subsampling realised kernels
- 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
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- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
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- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
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- 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
- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- 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
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- 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
- 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
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