Pages that link to "Item:Q5255690"

The following pages link to High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (Q5255690):

Displaying 50 items.

• Sequential estimation of Spearman rank correlation using Hermite series estimators (Q89438) (← links)
• Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) (← links)
• Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
• Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
• Copula structured M4 processes with application to high-frequency financial data (Q308364) (← 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)
• Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← 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)
• Quasi-likelihood analysis for nonsynchronously observed diffusion processes (Q740191) (← links)
• Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
• Local asymptotic mixed normality property for nonsynchronously observed diffusion processes (Q888473) (← links)
• On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) (← links)
• Forecasting realized volatility: a review (Q1622112) (← 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)
• Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (Q1706445) (← links)
• Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← 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)
• Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867) (← links)
• Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
• Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
• Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) (← links)
• Laws of large numbers for Hayashi-Yoshida-type functionals (Q1999591) (← 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-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process (Q2084463) (← links)
• A Bayesian semiparametric vector multiplicative error model (Q2242023) (← links)
• Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
• Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
• Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
• Estimation of the realized (co-)volatility vector: large deviations approach (Q2402430) (← 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)
• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
• Large and moderate deviations of realized covolatility (Q2452772) (← links)
• Estimation of high-dimensional integrated covariance matrix based on noisy high-frequency data with multiple observations (Q2657980) (← links)
• A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes (Q2676877) (← links)