Pages that link to "Item:Q5475035"

The following pages link to Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (Q5475035):

Displayed 50 items.

• Analysis of high dimensional multivariate stochastic volatility models (Q278181) ‎ (← links)
• Inference theory for volatility functional dependencies (Q284294) ‎ (← links)
• A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) ‎ (← links)
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) ‎ (← links)
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) ‎ (← links)
• Fractional integration versus level shifts: the case of realized asset correlations (Q379926) ‎ (← links)
• On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988) ‎ (← links)
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) ‎ (← links)
• Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) ‎ (← links)
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) ‎ (← links)
• Bootstrapping realized multivariate volatility measures (Q528117) ‎ (← links)
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) ‎ (← links)
• Data-based ranking of realised volatility estimators (Q530606) ‎ (← links)
• Estimation of stable distributions by indirect inference (Q530608) ‎ (← links)
• Power variation of fractional integral processes with jumps (Q552984) ‎ (← links)
• New tests for jumps in semimartingale models (Q625314) ‎ (← links)
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) ‎ (← links)
• Multipower variation for Brownian semistationary processes (Q654402) ‎ (← links)
• Cholesky-GARCH models with applications to finance (Q693317) ‎ (← links)
• Nonsynchronous covariation process and limit theorems (Q719383) ‎ (← links)
• Sequential monitoring of portfolio betas (Q725685) ‎ (← links)
• High-dimensional copula-based distributions with mixed frequency data (Q726592) ‎ (← links)
• On the use of high frequency measures of volatility in MIDAS regressions (Q726593) ‎ (← links)
• Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) ‎ (← links)
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) ‎ (← links)
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) ‎ (← links)
• Forecasting multivariate realized stock market volatility (Q737267) ‎ (← links)
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279) ‎ (← links)
• Volatility forecast comparison using imperfect volatility proxies (Q737280) ‎ (← links)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) ‎ (← links)
• The conditional autoregressive Wishart model for multivariate stock market volatility (Q738147) ‎ (← links)
• Power variation of some integral fractional processes (Q850768) ‎ (← links)
• Econometric analysis of high frequency data (Q862781) ‎ (← links)
• A note on the central limit theorem for bipower variation of general functions (Q927926) ‎ (← links)
• Consistent estimation of covariation under nonsynchronicity (Q946288) ‎ (← links)
• Functional modelling of volatility in the Swedish limit order book (Q961406) ‎ (← links)
• Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) ‎ (← links)
• Power variation for Gaussian processes with stationary increments (Q1019612) ‎ (← links)
• On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) ‎ (← links)
• Long memory behavior of returns after intraday financial jumps (Q1619836) ‎ (← links)
• Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) ‎ (← links)
• The uncertainty of conditional returns, volatilities and correlations in DCC models (Q1659110) ‎ (← links)
• Mixed-scale jump regressions with bootstrap inference (Q1676389) ‎ (← links)
• Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis (Q1684768) ‎ (← links)
• Asymptotic inference about predictive accuracy using high frequency data (Q1706485) ‎ (← links)
• Dynamic hedging with futures: a copula-based GARCH model with high-frequency data (Q1710582) ‎ (← links)
• Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) ‎ (← links)
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) ‎ (← links)
• New distribution theory for the estimation of structural break point in mean (Q1754516) ‎ (← links)
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) ‎ (← links)