Pages that link to "Item:Q2323370"
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The following pages link to High-dimensional multivariate realized volatility estimation (Q2323370):
Displaying 19 items.
- Analysis of high dimensional multivariate stochastic volatility models (Q278181) (← links)
- Inference theory for volatility functional dependencies (Q284294) (← links)
- Risks of large portfolios (Q494174) (← links)
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
- Bootstrapping realized multivariate volatility measures (Q528117) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
- Sparse vector heterogeneous autoregressive modeling for realized volatility (Q2132003) (← links)
- Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix (Q2208902) (← links)
- Robust estimation of a high-dimensional integrated covariance matrix (Q2974915) (← links)
- Covariance estimation and algorithm implementation of hedge fund distributional-replicating approach (Q5195719) (← links)
- Nonlinear shrinkage estimation of large integrated covariance matrices (Q5384486) (← links)
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (Q5475035) (← links)
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
- Use of Random Integration to Test Equality of High Dimensional Covariance Matrices (Q6069480) (← links)
- Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model (Q6163267) (← links)
- High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (Q6199636) (← links)
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (Q6594970) (← links)
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests (Q6602369) (← links)
