Using High-Frequency Data in Dynamic Portfolio Choice
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Cites work
- A Tale of Two Time Scales
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Modeling and Forecasting Realized Volatility
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- Realized beta: persistence and predictability
- Realized Volatility: A Review
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
Cited in
(28)- Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
- Large portfolio allocation using high-frequency financial data
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Forecasting the volatility of crude oil futures using intraday data
- Assessing the quality of volatility estimators via option pricing
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Realized volatility forecasting and option pricing
- Dynamic modeling of high-dimensional correlation matrices in finance
- Microstructure Noise, Realized Variance, and Optimal Sampling
- How often to sample a continuous-time process in the presence of market microstructure noise
- Realized Volatility and Long Memory: An Overview
- Realized Volatility: A Review
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- Optimal sampling frequency for high frequency data using a finite mixture model
- Extracting information from mega‐panels and high‐frequency data
- An out-of-sample evaluation of dynamic portfolio strategies
- Profiling high-frequency equity price movements in directional changes
- Equity portfolio diversification with high frequency data
- High-frequency portfolio optimization with long-term CVaR constraints
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- A generalized heterogeneous autoregressive model using market information
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Estimating correlation and covariance matrices by weighting of market similarity
- Taming impulsive high-frequency data using optimal sampling periods
- The Fourier estimator of volatility under coefficient explosions
- Realized volatility forecasting and market microstructure noise
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