Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
From MaRDI portal
Recommendations
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- High-dimensional integrated volatility matrix estimation for high-frequency financial data
- Vast volatility matrix estimation for high-frequency financial data
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Forecasting high-dimensional realized volatility matrices using a factor model
- High-dimensional integrated volatility matrix estimation for high-frequency financial data with jumps
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- A factor-GARCH model for high dimensional volatilities
- Structured volatility matrix estimation for non-synchronized high-frequency financial data
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
Cites work
- A Tale of Two Time Scales
- A theory of the term structure of interest rates
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Asymptotic nonequivalence of GARCH models and diffusions
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Challenging the empirical mean and empirical variance: a deviation study
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Determining the Number of Factors in Approximate Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Discretization of processes.
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Eigenvalue ratio test for the number of factors
- Estimating covariation: Epps effect, microstructure noise
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Estimation of High Dimensional Mean Regression in the Absence of Symmetry and Light Tail Assumptions
- Factor modeling for high-dimensional time series: inference for the number of factors
- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- High-frequency covariance estimates with noisy and asynchronous financial data
- Improved penalization for determining the number of factors in approximate factor models
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Microstructure noise in the continuous case: the pre-averaging approach
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Robust Estimation of a Location Parameter
- Robust principal component analysis?
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- Vast volatility matrix estimation for high-frequency financial data
Cited in
(34)- Volatility analysis with realized GARCH-Itô models
- 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
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- Robust sieve M-estimation with an application to dimensionality reduction
- Robust classification via MOM minimization
- Identifying latent factors based on high-frequency data
- Robust estimation of a high-dimensional integrated covariance matrix
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- State heterogeneity analysis of financial volatility using high-frequency financial data
- Robust covariance estimation with noisy high-frequency financial data
- Conditional quantile analysis for realized GARCH models
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Community network auto-regression for high-dimensional time series
- Large volatility matrix analysis using global and national factor models
- Volatility models for stylized facts of high‐frequency financial data
- Power enhancement for testing multi-factor asset pricing models via Fisher's method
- Overnight GARCH-Itô Volatility Models
- Testing for jumps with robust spot volatility estimators
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- High-dimensional covariance matrix estimation
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
- High dimensional regression coefficient test with high frequency data
- Robust realized integrated beta estimator with application to dynamic analysis of integrated beta
- Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
- Ole Eiler Barndorff-Nielsen and financial econometrics
- Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations
- On the estimation of high-dimensional integrated covariance matrix based on high-frequency data with multiple transactions
- Dynamic Realized Minimum Variance Portfolio Models
- Exponential realized Garch-Itô volatility models
- Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
- High-dimensional time-varying coefficient estimation in diffusion models
- On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach
This page was built for publication: Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4559707)
