Pages that link to "Item:Q1781192"

The following pages link to On covariance estimation of non-synchronously observed diffusion processes (Q1781192):

Displaying 50 items.

• Direct estimation of lead-lag relationships using multinomial dynamic time warping (Q2216402) (← links)
• Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
• High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
• Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions (Q2330958) (← links)
• Hybrid multi-step estimators for stochastic differential equations based on sampled data (Q2350913) (← 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)
• A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Modeling tick-by-tick realized correlations (Q2445693) (← links)
• Large and moderate deviations of realized covolatility (Q2452772) (← 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)
• Three-point approach for estimating integrated volatility and integrated covariance (Q2879047) (← links)
• An integrated cross-volatility estimation for asynchronous noisy data (Q2892937) (← links)
• Efficient covariance estimation for asynchronous noisy high-frequency data (Q2911651) (← links)
• Robust estimation of a high-dimensional integrated covariance matrix (Q2974915) (← links)
• High-dimensional covariance forecasting for short intra-day horizons (Q3064018) (← links)
• A Non-Parametric Estimator of the Spectral Density of a Continuous-Time Gaussian Process Observed at Random Times (Q3103134) (← links)
• Estimation of Correlation for Continuous Semimartingales (Q3145567) (← links)
• REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) (← links)
• STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (Q3225026) (← links)
• Realized Volatility: A Review (Q3539862) (← links)
• Nonparametric Estimation Methods of Integrated Multivariate Volatilities (Q3539868) (← links)
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? (Q3539873) (← links)
• The Epps effect revisited (Q3650961) (← links)
• Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417) (← links)
• Ultra-high-frequency lead–lag relationship and information arrival (Q4554452) (← links)
• 24-Hour realized volatilities and transatlantic volatility interdependence (Q4555087) (← links)
• Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (Q4569339) (← links)
• Emergence of statistically validated financial intraday lead-lag relationships (Q4619502) (← links)
• Study of Statistical Correlations in Intraday and Daily Financial Return Time Series (Q4687373) (← links)
• VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473) (← links)
• Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246) (← links)
• Estimation of Correlation Between Latent Processes (Q4976496) (← links)
• (Q5011497) (← links)
• A multivariate volatility vine copula model (Q5034252) (← links)
• Network-adaptive robust penalized estimation of time-varying coefficient models with longitudinal data (Q5040521) (← links)
• High-dimensional realized covariance estimation: a parametric approach (Q5051983) (← links)
• On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? (Q5086397) (← links)
• Large dimensional portfolio allocation based on a mixed frequency dynamic factor model (Q5095203) (← links)
• A closed-form formula characterization of the Epps effect (Q5121493) (← links)
• Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms (Q5146684) (← links)
• A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA (Q5378499) (← links)
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952) (← links)
• FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112) (← links)
• An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636) (← links)
• ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
• Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix (Q5743121) (← links)