Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology
In: Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
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DOI: 10.1057/9780230298101_1
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Other versions of this item:
- Mancino Maria Elvira & Simona Sanfelici, 2009. "Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology," Working Papers - Mathematical Economics 2009-09, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
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Cited by:
- Shephard, Neil & Xiu, Dacheng, 2017. "Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading," Journal of Econometrics, Elsevier, vol. 201(1), pages 19-42.
- Sanfelici Simona & Uboldi Adamo, 2014. "Assessing the quality of volatility estimators via option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(2), pages 103-124, April.
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More about this item
Keywords
Mean Square Error; Covariance Estimation; Forecast Horizon; Microstructure Noise; Quadratic Covariation;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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