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HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES

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References

1997Modelling Extremal Events4,397 cited
1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited
2003Inference in Arch and Garch Models with Heavy-Tailed Errors362 cited

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2004Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise112 cited
2017Unsupervised Self-Normalized Change-Point Testing for Time Series53 cited
2015Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices43 cited
2016ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS40 cited
2022Optimal difference-based variance estimators in time series: A general framework24 cited

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