Pages that link to "Item:Q3111195"
From MaRDI portal
The following pages link to Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches (Q3111195):
Displaying 44 items.
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805) (← links)
- Inference theory for volatility functional dependencies (Q284294) (← links)
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
- Factor modeling for high-dimensional time series: inference for the number of factors (Q447821) (← links)
- On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988) (← links)
- Spectral estimation of the Lévy density in partially observed affine models (Q544516) (← 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)
- 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)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Long memory and asymmetry for matrix-exponential dynamic correlation processes (Q1695662) (← 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)
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency (Q2079627) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
- Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix (Q2208902) (← links)
- High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
- Estimation in the presence of many nuisance parameters: composite likelihood and plug-in likelihood (Q2447659) (← links)
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
- Identifying latent factors based on high-frequency data (Q2688663) (← links)
- Statistical inference for unified Garch-Itô models with high-frequency financial data (Q2815047) (← links)
- Towards a unified framework for high and low frequency return volatility modeling (Q4259384) (← 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)
- Dynamic principal component CAW models for high-dimensional realized covariance matrices (Q4991059) (← links)
- State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (Q5030954) (← links)
- Time series models for realized covariance matrices based on the matrix-F distribution (Q5066772) (← links)
- Large dimensional portfolio allocation based on a mixed frequency dynamic factor model (Q5095203) (← links)
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112) (← links)
- The impact of jumps and leverage in forecasting covolatility (Q5864641) (← links)
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form (Q6086165) (← links)
- Dynamic factor copula models with estimated cluster assignments (Q6090586) (← links)
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (Q6594970) (← links)
- Volatility analysis in high-frequency financial data (Q6604425) (← links)
- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility (Q6616628) (← links)
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data (Q6620901) (← links)
- The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models (Q6626222) (← links)
