Pages that link to "Item:Q2405902"
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The following pages link to Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902):
Displaying 23 items.
- 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 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)
- 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)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← links)
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
- Testing against constant factor loading matrix with large panel high-frequency data (Q1753061) (← links)
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics (Q4957245) (← links)
- High-dimensional realized covariance estimation: a parametric approach (Q5051983) (← links)
- A closed-form formula characterization of the Epps effect (Q5121493) (← links)
- Efficient and positive semidefinite pre-averaging realized covariance estimator (Q5155195) (← links)
- Principal Component Analysis of High-Frequency Data (Q5229911) (← links)
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636) (← links)
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (Q5475035) (← links)
- Exploiting the errors: a simple approach for improved volatility forecasting (Q5964747) (← links)
- Statistical inference in factor analysis for diffusion processes from discrete observations (Q6076572) (← links)
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices (Q6190695) (← links)
- High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model (Q6617782) (← links)
- A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics (Q6617813) (← links)
