Pages that link to "Item:Q2451774"

The following pages link to A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774):

Displaying 8 items.

• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
• A rank test for the number of factors with high-frequency data (Q2000871) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (Q2425171) (← links)
• Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data (Q3387056) (← links)
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)