Pages that link to "Item:Q2451774"
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The following pages link to A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774):
Displaying 13 items.
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- A state space model approach to integrated covariance matrix estimation with high frequency data (Q896584) (← 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)
- 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)
- Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations (Q2657980) (← links)
- Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data (Q3387056) (← links)
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
- Asymptotic normality of kernel density estimation for mixing high-frequency data (Q6669476) (← links)
