Pages that link to "Item:Q5964706"
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The following pages link to Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706):
Displaying 13 items.
- 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)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
- Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
- Estimation of a multiplicative correlation structure in the large dimensional case (Q2190234) (← links)
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing (Q2835311) (← links)
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? (Q5086397) (← links)
- Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms (Q5146684) (← links)
- Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
- Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes (Q6580717) (← links)
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous (Q6620891) (← links)
