Pages that link to "Item:Q2380093"

The following pages link to Vast volatility matrix estimation for high-frequency financial data (Q2380093):

Displaying 50 items.

• Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
• Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930) (← links)
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
• 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)
• The asymptotics of the integrated self-weighted cross volatility estimator (Q394775) (← links)
• On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988) (← links)
• Trading-flow assisted estimation of the jump activity index (Q829093) (← links)
• Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems (Q830705) (← links)
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
• On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) (← links)
• Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes (Q1621717) (← links)
• Forecasting realized volatility: a review (Q1622112) (← links)
• On the systematic and idiosyncratic volatility with large panel high-frequency data (Q1650070) (← links)
• Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← links)
• A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
• Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis (Q1684768) (← links)
• Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (Q1706445) (← 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)
• Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
• Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
• Testing against constant factor loading matrix with large panel high-frequency data (Q1753061) (← links)
• A rank test for the number of factors with high-frequency data (Q2000871) (← 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)
• High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
• Exponent of cross-sectional dependence for residuals (Q2297944) (← links)
• The Dantzig selector for a linear model of diffusion processes (Q2330962) (← links)
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
• Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (Q2511805) (← links)
• Testing stationarity of functional time series (Q2512639) (← links)
• An integrated cross-volatility estimation for asynchronous noisy data (Q2892937) (← links)
• Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data (Q3387056) (← links)
• Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707) (← links)
• Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (Q4569339) (← 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)
• (Q4984477) (← links)
• Dynamic principal component CAW models for high-dimensional realized covariance matrices (Q4991059) (← links)
• (Q5011497) (← links)
• Time series models for realized covariance matrices based on the matrix-F distribution (Q5066772) (← links)
• Efficient and positive semidefinite pre-averaging realized covariance estimator (Q5155195) (← links)
• Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series (Q5237526) (← links)
• On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
• Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
• High-dimensional estimation of quadratic variation based on penalized realized variance (Q6166018) (← links)
• High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (Q6594970) (← links)
• High-dimensional covariance matrix estimation (Q6601084) (← links)