A state space model approach to integrated covariance matrix estimation with high frequency data

DOI10.4310/SII.2013.V6.N4.A5zbMATH Open1326.62122OpenAlexW2324042807MaRDI QIDQ896584FDOQ896584

Authors: Cheng Yong Tang, Cheng Liu 

Publication date: 10 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2013.v6.n4.a5

Recommendations

• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
• Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
• High-dimensional integrated volatility matrix estimation for high-frequency financial data
• Design-free estimation of integrated covariance matrices for high-frequency data
• Efficient covariance estimation for asynchronous noisy high-frequency data

zbMATH Keywords

Kalman filterEM algorithmmissing datastate space modelmicrostructure noisehigh frequency dataquasi-maximum likelihoodintegrated covariance matrix

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (5)

• Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data
• Design-free estimation of integrated covariance matrices for high-frequency data
• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
• Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
• Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations

This page was built for publication: A state space model approach to integrated covariance matrix estimation with high frequency data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q896584)