Pages that link to "Item:Q737261"
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The following pages link to Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261):
Displaying 21 items.
- Bootstrapping realized multivariate volatility measures (Q528117) (← links)
- Second-order asymptotic expansion for a non-synchronous covariation estimator (Q720740) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← links)
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
- Irregular sampling and central limit theorems for power variations: the continuous case (Q1944677) (← links)
- Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
- Modeling tick-by-tick realized correlations (Q2445693) (← links)
- Three-point approach for estimating integrated volatility and integrated covariance (Q2879047) (← links)
- Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data (Q2911651) (← links)
- Volatility Estimation Based on High-Frequency Data (Q3112466) (← links)
- STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (Q3225026) (← links)
- Estimation of Correlation Between Latent Processes (Q4976496) (← links)
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? (Q5086397) (← links)
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112) (← links)
