Pages that link to "Item:Q736514"
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The following pages link to Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514):
Displaying 33 items.
- Risk, jumps, and diversification (Q292155) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Bootstrapping realized multivariate volatility measures (Q528117) (← links)
- Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
- Systematic risk over various frequency bands (Q672551) (← links)
- Econophysics and capital asset pricing. Splitting the atom of systematic risk (Q1625218) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Mixed-scale jump regressions with bootstrap inference (Q1676389) (← 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)
- Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
- Variation and efficiency of high-frequency betas (Q2116364) (← links)
- Testing the eigenvalue structure of spot and integrated covariance (Q2155301) (← links)
- Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution (Q2193302) (← links)
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
- High-frequency factor models and regressions (Q2305976) (← links)
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (Q2347453) (← links)
- Adaptive estimation of continuous-time regression models using high-frequency data (Q2398973) (← links)
- Estimation of the realized (co-)volatility vector: large deviations approach (Q2402430) (← links)
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
- Equity portfolio diversification with high frequency data (Q4683074) (← links)
- A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps (Q5034147) (← links)
- Extreme downside risk and market turbulence (Q5212065) (← links)
- Targeting market neutrality (Q5234304) (← links)
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952) (← links)
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636) (← links)
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas (Q6149866) (← links)
- Stock co-jump networks (Q6150522) (← links)
- Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)
- Systematic jump risk (Q6620071) (← links)
- Rank Tests at Jump Events (Q6634863) (← links)
