SZodixStudyAcademic Library

Shelves Open access

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

Positive semidefinite integrated covariance estimation, factorizations and asynchronicity · Study

ArticleShelves

ArticlePositive semidefinite integrated covariance estimation, factorizations and asynchronicity

Kris Boudt2016

OA

Articlebronze2016

Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

Kris Boudt · Sébastien Laurent · Asger Lunde · Rogier Quaedvlieg · Orimar Sauri

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

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 30 citations exist upstream.

References

1995Multivariate Simultaneous Generalized ARCH 2003Modeling and Forecasting Realized Volatility 2004CAViaR 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 2009Realized kernels in practice: trades and quotes 2005Separating microstructure noise from volatility 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Cited by

2019Multivariate GARCH models for large-scale applications: A survey 2018Asymptotics of Cholesky GARCH models and time-varying conditional betas 2016A dynamic component model for forecasting high-dimensional realized covariance matrices

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2016Risk and uncertaintythesis · 31 shared references 2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous tradingarticle · 18 shared references 2015Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choicearticle · 15 shared references 2015Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Pricesarticle · 12 shared references 2019Multivariate GARCH models for large-scale applications: A surveychapter · 12 shared references 2012Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Tradingpreprint · 12 shared references

Details

Year2016

Typearticle

Published2016-11-09

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations30

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jeconom.2016.09.016

openalex_workW4391010958

Links

Imported from OpenAlex (CC0) — nothing here is generated.