ETF basket-adjusted covariance estimation (Q6108294)

scientific article; zbMATH DE number 7704487

Language	Label	Description	Also known as
English	ETF basket-adjusted covariance estimation	scientific article; zbMATH DE number 7704487

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instance of

scholarly article

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title

ETF basket-adjusted covariance estimation (English)

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Journal of Econometrics

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publication date

29 June 2023

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zbMATH Keywords

high-frequency data

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realized covariances

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ETF

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asynchronicity

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stock-ETF covariation

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localized Hayashi-Yoshida

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index tracking

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MaRDI profile type

MaRDI publication profile

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cites work

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

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Jump-robust volatility estimation using nearest neighbor truncation

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Realized kernels in practice: trades and quotes

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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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Realized Semicovariances

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Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

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Jump robust two time scale covariance estimation and realized volatility budgets

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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

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On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes

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Testing for jumps and jump intensity path dependence

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Mathematical Finance

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Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

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Cardinality versus<i>q</i>-norm constraints for index tracking

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Irregular sampling and central limit theorems for power variations: the continuous case

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On covariance estimation of non-synchronously observed diffusion processes

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Microstructure noise in the continuous case: the pre-averaging approach

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A remark on the rates of convergence for integrated volatility estimation in the presence of jumps

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Quarticity and other functionals of volatility: efficient estimation

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Efficient estimation of integrated volatility in presence of infinite variation jumps

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Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation

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Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling

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Efficient estimation of integrated volatility functionals via multiscale jackknife

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Inference theory for volatility functional dependencies

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IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS

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Laws of large numbers for Hayashi-Yoshida-type functionals

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A Gaussian calculus for inference from high frequency data

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Estimation of integrated quadratic covariation with endogenous sampling times

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VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS

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Estimating covariation: Epps effect, microstructure noise

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.JECONOM.2022.10.002

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Sitelinks

Mathematics(1 entry)

mardi Publication:6108294