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Estimating Unbiased and Precise Realized Covariances · Study

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PreprintEstimating Unbiased and Precise Realized Covariances

Martin P.E. Martens2004

OA

Preprintgreen2004

Estimating Unbiased and Precise Realized Covariances

Martin P.E. Martens

63 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1979Risk measurement when shares are subject to infrequent trading 1977Estimating betas from nonsynchronous data 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 2001The distribution of realized stock return volatility 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

Cited by

2017Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data 2015Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices 2009Modeling tick-by-tick realized correlations 2010Estimating quadratic variation when quoted prices change by a constant increment 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management

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2008Estimating Covariance Via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noisearticle · 16 shared references 2009On portfolio optimization: How and when do we benefit from high‐frequency data?article · 14 shared references 2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometricspreprint · 14 shared references 2008Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?article · 13 shared references 2005Volatility Forecastingreport · 13 shared references 2010Covariance measurement in the presence of non-synchronous trading and market microstructure noisearticle · 12 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations63

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.2139/ssrn.556118

openalex_workW1517794399

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading

2009Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common factors

2007Realized Correlation Tick-By-Tick