Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

DOI10.1016/j.jeconom.2016.09.016zbMath1403.62095OpenAlexW4391010958WikidataQ114161736 ScholiaQ114161736MaRDI QIDQ503579

Orimar Sauri, Rogier Quaedvlieg, Asger Lunde, Sébastien Laurent, Leopoldo Catania

Publication date: 13 January 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/70843401/rp14_05.pdf

zbMATH Keywords

positive semidefiniteCholesky decompositionintegrated covariancenon-synchronous tradingrealized covariance

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

Volatility estimation and jump detection for drift-diffusion processes ⋮ Virtual historical simulation for estimating the conditional VaR of large portfolios ⋮ ETF basket-adjusted covariance estimation ⋮ Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model ⋮ Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property ⋮ Autoregressive conditional betas ⋮ Asymptotics of Cholesky GARCH models and time-varying conditional betas

Uses Software

• CAViaR
• Ox

Cites Work

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