Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

ON THE ESTIMATION OF INTEGRATED COVARIANCE MATRICES OF HIGH DIMENSIONAL DIFFUSION PROCESSES1

16 references·3 citing·39 second hop

FromToDepth

this work references cited by second hop

References

1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
2001The Distribution of Realized Exchange Rate Volatility2,108 cited
2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
1997Intraday periodicity and volatility persistence in financial markets1,301 cited
2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
2010Ultra high frequency volatility estimation with dependent microstructure noise360 cited
2010

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Quasi-maximum likelihood estimation of volatility with high frequency data

280 cited

2009ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY200 cited

2010Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading179 cited

Cited by

2015Principal Component Analysis of High Frequency Data44 cited
2019High-dimensional multivariate realized volatility estimation39 cited
2015Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance38 cited