Pages that link to "Item:Q737896"
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The following pages link to Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896):
Displayed 24 items.
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764) (← links)
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- Second-order asymptotic expansion for a non-synchronous covariation estimator (Q720740) (← links)
- Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084) (← links)
- Irregular sampling and central limit theorems for power variations: the continuous case (Q1944677) (← links)
- Vast volatility matrix estimation for high-frequency financial data (Q2380093) (← links)
- Modeling tick-by-tick realized correlations (Q2445693) (← links)
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
- Assessing the quality of volatility estimators via option pricing (Q2509440) (← links)
- Estimation of quarticity with high-frequency data (Q2873034) (← links)
- SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (Q2909249) (← links)
- Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data (Q2911651) (← links)
- Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures (Q3018503) (← links)
- DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE (Q3166712) (← links)
- Realized kernels in practice: trades and quotes (Q3653354) (← links)
- VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)
- Vast Portfolio Selection With Gross-Exposure Constraints (Q4916498) (← links)
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112) (← links)
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights (Q5413944) (← links)