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High-dimensional multivariate realized volatility estimation · Study

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ArticleHigh-dimensional multivariate realized volatility estimation

Tim Bollerslev2019

OA

Articlegreen2019

High-dimensional multivariate realized volatility estimation

Tim Bollerslev · Nour Meddahi Y · Serge Nyawa

39 citations·0/0 files stored·Journal of Econometrics

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

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References

1976The arbitrage theory of capital asset pricing 1986Economic Forces and the Stock Market 2002Determining the Number of Factors in Approximate Factor Models 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2002Forecasting Using Principal Components From a Large Number of Predictors 1994The Sharpe Ratio 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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2022Multivariate Realized Volatility Forecasting with Graph Neural Network

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2015Large-Dimensional Factor Modeling Based on High-Frequency Observationsarticle · 17 shared references 2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous tradingarticle · 17 shared references 2017Using principal component analysis to estimate a high dimensional factor model with high-frequency dataarticle · 15 shared references 2015Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choicearticle · 14 shared references 2020Understanding Systematic Risk: A High‐Frequency Approacharticle · 13 shared references 2018Large volatility matrix estimation with factor-based diffusion model for high-frequency financial dataarticle · 13 shared references

Details

Year2019

Typearticle

Published2019-04-16

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations39

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2019.04.023

openalex_workW2940132026

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