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FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
16 references·5 citing·39 second hopsampled
FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (2013)FAST CONVERGENCE RATES IN ESTIMATING LARG…Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Multivariate realised kernels…Vast volatility matrix estimation for high-frequency financial data (2010)Vast volatility matrix estima…Ultra high frequency volatility estimation with dependent microstructure noise (2010)Ultra high frequency volatili…Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (2010)Pre-averaging estimators of t…High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (2010)High-Frequency Covariance Est…Covariance measurement in the presence of non-synchronous trading and market microstructure noise (2010)Covariance measurement in the…NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (2009)NONPARAMETRIC FILTERING OF TH…Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (2007)Multi-Scale Jump and Volatili…Estimating Covariation: Epps Effect, Microstructure Noise (2006)Estimating Covariation: Epps …Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…On covariance estimation of non-synchronously observed diffusion processes (2005)On covariance estimation of n…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesA Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Diffusions with measurement errors. I. Local Asymptotic Normality (2001)Diffusions with measurement e…Comovements in Stock Prices in the Very Short Run (1979)Comovements in Stock Prices i…High-dimensional multivariate realized volatility estimation (2019)High-dimensional multivariate…On the systematic and idiosyncratic volatility with large panel high-frequency data (2018)On the systematic and idiosyn…Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (2018)Large volatility matrix estim…Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (2017)Adaptive thresholding for lar…Principal Component Analysis of High Frequency Data (2015)Principal Component Analysis …Market and Industry Factors in Stock Price Behavior (1966)Some New Stock-Market Indexes (1966)PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)The Distribution of Exchange Rate Volatility (1999)Evidence on the speed of convergence to market efficiency (2005)Physical approach to complex systems (2012)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)The leverage effect puzzle: Disentangling sources of bias at high frequency (2013)Principal Component Analysis of High-Frequency Data (2017)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)Estimating betas from nonsynchronous data (1977)The Distribution of Realized Exchange Rate Volatility (2001)Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)Econophysics review: I. 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References

  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
  • 1979Comovements in Stock Prices in the Very Short Run464 cited
  • 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
  • 2010Ultra high frequency volatility estimation with dependent microstructure noise360 cited
  • 2006Estimating Covariation: Epps Effect, Microstructure Noise326 cited
  • 2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data280 cited
  • 2010Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data252 cited
  • 2007Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data241 cited
  • 2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH175 cited
  • 2001Diffusions with measurement errors. I. Local Asymptotic Normality

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137 cited
  • 2010Vast volatility matrix estimation for high-frequency financial data134 cited
  • 2010Covariance measurement in the presence of non-synchronous trading and market microstructure noise124 cited
  • Cited by

    • 2019High-dimensional multivariate realized volatility estimation39 cited
    • 2018On the systematic and idiosyncratic volatility with large panel high-frequency data36 cited
    • 2018Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data30 cited
    • 2017Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data27 cited
    • 2015Principal Component Analysis of High Frequency Data24 cited