Pages that link to "Item:Q737896"

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):

Displaying 50 items.

• Long memory and asymmetry for matrix-exponential dynamic correlation processes (Q1695662) (← links)
• Testing for nonlinearity in conditional covariances (Q1695687) (← links)
• Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (Q1706445) (← 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)
• Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
• Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
• Estimating the integrated volatility with tick observations (Q1739633) (← links)
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
• Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867) (← links)
• Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
• Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
• Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) (← 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)
• Laws of large numbers for Hayashi-Yoshida-type functionals (Q1999591) (← links)
• The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling (Q2013324) (← links)
• Design-free estimation of integrated covariance matrices for high-frequency data (Q2078572) (← links)
• Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency (Q2079627) (← links)
• From zero to hero: realized partial (co)variances (Q2106366) (← links)
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
• Misspecified diffusion models with high-frequency observations and an application to neural networks (Q2239259) (← links)
• Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
• High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
• Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
• Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
• High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
• Large-scale portfolio allocation under transaction costs and model uncertainty (Q2323379) (← links)
• Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
• Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (Q2355172) (← links)
• Vast volatility matrix estimation for high-frequency financial data (Q2380093) (← 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)
• 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)
• Identifying latent factors based on high-frequency data (Q2688663) (← links)
• An unbiased measure of integrated volatility in the frequency domain (Q2789386) (← links)
• Inference for multi-dimensional high-frequency data with an application to conditional independence testing (Q2835311) (← links)
• Estimation of quarticity with high-frequency data (Q2873034) (← links)
• Sequentiel testing for the stability of high-frequency portfolio betas (Q2909249) (← links)
• Efficient covariance estimation for asynchronous noisy high-frequency data (Q2911651) (← links)
• A Markov Chain Estimator of Multivariate Volatility from High Frequency Data (Q2956061) (← links)
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← 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)