Pages that link to "Item:Q2911651"
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The following pages link to Efficient covariance estimation for asynchronous noisy high-frequency data (Q2911651):
Displaying 39 items.
- Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
- Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← 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)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
- A state space model approach to integrated covariance matrix estimation with high frequency data (Q896584) (← links)
- Consistent estimation of covariation under nonsynchronicity (Q946288) (← links)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
- On covariance estimation of non-synchronously observed diffusion processes (Q1781192) (← links)
- Design-free estimation of integrated covariance matrices for high-frequency data (Q2078572) (← links)
- Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← 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)
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing (Q2835311) (← links)
- On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) (← links)
- An integrated cross-volatility estimation for asynchronous noisy data (Q2892937) (← links)
- On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect (Q4578217) (← links)
- Estimation of Correlation Between Latent Processes (Q4976496) (← links)
- Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms (Q5146684) (← links)
- Efficient and positive semidefinite pre-averaging realized covariance estimator (Q5155195) (← links)
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights (Q5413944) (← links)
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
- Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
- Volatility analysis in high-frequency financial data (Q6604425) (← links)
- Permutation invariant Gaussian matrix models for financial correlation matrices (Q6608263) (← links)
