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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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Cited by:
- Tsiaras, Leonidas, 2009.
"The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks,"
Finance Research Group Working Papers
F-2009-02, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Leonidas Tsiaras, 2010. "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," CREATES Research Papers 2010-34, Department of Economics and Business Economics, Aarhus University.
- Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012.
"On the forecasting accuracy of multivariate GARCH models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 934-955, September.
- LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010. "On the forecasting accuracy of multivariate GARCH models," LIDAM Discussion Papers CORE 2010025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
- Hautsch, Nikolaus & Voigt, Stefan, 2019.
"Large-scale portfolio allocation under transaction costs and model uncertainty,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
- Nikolaus Hautsch & Stefan Voigt, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers 1709.06296, arXiv.org, revised Jun 2018.
- Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
- Manabu Asai & Michael McAleer, 2017.
"The impact of jumps and leverage in forecasting covolatility,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
- Asai, M. & McAleer, M.J., 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers EI 2015-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.
- Mykland, Per A. & Zhang, Lan, 2016. "Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price," Journal of Econometrics, Elsevier, vol. 194(2), pages 242-262.
- Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
- Stanislav Anatolyev & Nikita Kobotaev, 2018.
"Modeling and forecasting realized covariance matrices with accounting for leverage,"
Econometric Reviews, Taylor & Francis Journals, vol. 37(2), pages 114-139, February.
- Stanislav Anatolyev & Nikita Kobotaev, 2015. "Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage," Working Papers w0213, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev & Nikita Kobotaev, 2015. "Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage," Working Papers w0213, New Economic School (NES).
- Massimiliano Caporin & Michael McAleer, 2011.
"Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation,"
Working Papers in Economics
11/23, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Massimiliano Caporin, 2011. "Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation," KIER Working Papers 778, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Documentos de Trabajo del ICAE 2011-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers EI 2011-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Roxana Halbleib & Valerie Voev, 2011.
"Forecasting Covariance Matrices: A Mixed Frequency Approach,"
Working Papers ECARES
ECARES 2011-002, ULB -- Universite Libre de Bruxelles.
- Roxana Halbleib & Valeri Voev, 2012. "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Paper Series of the Department of Economics, University of Konstanz 2012-30, Department of Economics, University of Konstanz.
- Roxana Halbleib & Valeri Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers 2011-03, Department of Economics and Business Economics, Aarhus University.
- Bibinger, Markus, 2012. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2411-2453.
- Jiawen Luo & Langnan Chen, 2019. "Multivariate realized volatility forecasts of agricultural commodity futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1565-1586, December.
- Golosnoy, Vasyl & Gribisch, Bastian, 2022. "Modeling and forecasting realized portfolio weights," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Lam, Clifford & Feng, Phoenix & Hu, Charlie, 2017. "Nonlinear shrinkage estimation of large integrated covariance matrices," LSE Research Online Documents on Economics 69812, London School of Economics and Political Science, LSE Library.
- Fulvio Corsi & Stefano Peluso & Francesco Audrino, 2015.
"Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(3), pages 377-397, April.
- Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012. "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series 1202, University of St. Gallen, School of Economics and Political Science.
- Sentana, Enrique, 2018.
"Volatility, diversification and contagion,"
CEPR Discussion Papers
12824, C.E.P.R. Discussion Papers.
- Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
- Giorgio Mirone, 2018. "Cross-sectional noise reduction and more efficient estimation of Integrated Variance," CREATES Research Papers 2018-18, Department of Economics and Business Economics, Aarhus University.
- Francis X. Diebold & Georg Strasser, 2013.
"On the Correlation Structure of Microstructure Noise: A Financial Economic Approach,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(4), pages 1304-1337.
- Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," Boston College Working Papers in Economics 693, Boston College Department of Economics, revised 24 Apr 2012.
- Francis X. Diebold & Georg Strasser, 2010. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," NBER Working Papers 16469, National Bureau of Economic Research, Inc.
- Ang, Andrew & Kristensen, Dennis, 2012.
"Testing conditional factor models,"
Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
- Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, Department of Economics and Business Economics, Aarhus University.
- Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
- Jianqing Fan & Yingying Li & Ke Yu, 2012.
"Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(497), pages 412-428, March.
- Jianqing Fan & Yingying Li & Ke Yu, 2010. "Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection," Papers 1004.4956, arXiv.org.
- Vladimír Holý & Petra Tomanová, 2023. "Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 463-485, June.
- Ikeda, Shin S., 2016. "A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous," Journal of Econometrics, Elsevier, vol. 193(1), pages 203-214.
- Roxana Halbleib & Valeri Voev, 2016. "Forecasting Covariance Matrices: A Mixed Approach," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 383-417.
- Vortelinos, Dimitrios I., 2013. "Portfolio analysis of intraday covariance matrix in the Greek equity market," Research in International Business and Finance, Elsevier, vol. 27(1), pages 66-79.
- Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
- Bauwens, Luc & Xu, Yongdeng, 2023.
"The contribution of realized covariance models to the economic value of volatility timing,"
Cardiff Economics Working Papers
E2023/20, Cardiff University, Cardiff Business School, Economics Section.
- Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," LIDAM Discussion Papers CORE 2023018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Altmeyer, Randolf & Bibinger, Markus, 2014. "Functional stable limit theorems for efficient spectral covolatility estimators," SFB 649 Discussion Papers 2014-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Manabu Asai & Mike K. P. So, 2021. "Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 271-294, May.
- Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov, 2015. "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data," CREATES Research Papers 2015-19, Department of Economics and Business Economics, Aarhus University.
- Ilze Kalnina & Natalia Sizova, 2015. "Estimation of volatility measures using high frequency data (in Russian)," Quantile, Quantile, issue 13, pages 3-14, May.
- Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2014.
"Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(4), pages 679-707.
- Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2013. "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns," CREATES Research Papers 2013-07, Department of Economics and Business Economics, Aarhus University.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013.
"Financial Risk Measurement for Financial Risk Management,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220,
Elsevier.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
- Degiannakis, Stavros & Floros, Christos, 2016.
"Intra-day realized volatility for European and USA stock indices,"
Global Finance Journal, Elsevier, vol. 29(C), pages 24-41.
- Degiannakis, Stavros & Floros, Christos, 2014. "Intra-Day Realized Volatility for European and USA Stock Indices," MPRA Paper 64940, University Library of Munich, Germany, revised Jan 2015.
- Flavia Barsotti & Simona Sanfelici, 2012. "Microstructure effect on firm’s volatility risk," Working Papers - Mathematical Economics 2012-05, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Caporin, Massimiliano & McAleer, Michael, 2014.
"Robust ranking of multivariate GARCH models by problem dimension,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 172-185.
- Caporin, M. & McAleer, M.J., 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Econometric Institute Research Papers EI2012-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Massimiliano Caporin, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers 815, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics 12/06, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Documentos de Trabajo del ICAE 2012-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
- Connor, Gregory & Suurlaht, Anita, 2013.
"Dynamic stock market covariances in the Eurozone,"
Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
- Gregory Connor & Anita Suurlaht, 2012. "Dynamic Stock Market Covariances in the Eurozone," Economics Department Working Paper Series n222-12.pdf, Department of Economics, National University of Ireland - Maynooth.
- Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg, 2020. "Realized Semicovariances," Econometrica, Econometric Society, vol. 88(4), pages 1515-1551, July.
- Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely, 2023.
"Sluggish news reactions: A combinatorial approach for synchronizing stock jumps,"
Papers
2309.15705, arXiv.org.
- Nabil Bouamara & Kris Boudt & Sebastien Laurent & Christopher J. Neely, 2024. "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Working Papers 2024-006, Federal Reserve Bank of St. Louis.
- Flavia Barsotti & Simona Sanfelici, 2016. "Market Microstructure Effects on Firm Default Risk Evaluation," Econometrics, MDPI, vol. 4(3), pages 1-31, July.
- Xin Jin & John M. Maheu & Qiao Yang, 2019.
"Bayesian parametric and semiparametric factor models for large realized covariance matrices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
- Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
- Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
- Ilze Kalnina, 2023.
"Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 538-549, April.
- KALNINA, Ilze, 2015. "Inference for nonparametric high-frequency estimators with an application to time variation in betas," Cahiers de recherche 2015-08, Universite de Montreal, Departement de sciences economiques.
- Ilze KALNINA, 2015. "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Cahiers de recherche 13-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Martin Magris, 2019. "A Vine-copula extension for the HAR model," Papers 1907.08522, arXiv.org.
- Wang, Chengyang & Nishiyama, Yoshihiko, 2015. "Volatility forecast of stock indices by model averaging using high-frequency data," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 324-337.
- Wenjing Wang & Minjing Tao, 2020. "Forecasting Realized Volatility Matrix With Copula-Based Models," Papers 2002.08849, arXiv.org.
- Peter R. Hansen & Asger Lunde & Valeri Voev, 2010.
"Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility,"
CREATES Research Papers
2010-74, Department of Economics and Business Economics, Aarhus University.
- Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers ECO2012/28, European University Institute.
- Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series gd12-269, Institute of Economic Research, Hitotsubashi University.
- Potiron, Yoann & Mykland, Per A., 2017.
"Estimation of integrated quadratic covariation with endogenous sampling times,"
Journal of Econometrics, Elsevier, vol. 197(1), pages 20-41.
- Yoann Potiron & Per Mykland, 2015. "Estimation of integrated quadratic covariation with endogenous sampling times," Papers 1507.01033, arXiv.org, revised Nov 2016.
- Peter Reinhard Hansen & Chen Tong, 2024. "Convolution-t Distributions," Papers 2404.00864, arXiv.org.
- Dinghai Xu, 2021.
"A study on volatility spurious almost integration effect: A threshold realized GARCH approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4104-4126, July.
- Dinghai Xu, 2019. "A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach," Working Papers 1903, University of Waterloo, Department of Economics, revised Dec 2019.
- Liu, Zhi & Kong, Xin-Bing & Jing, Bing-Yi, 2018. "Estimating the integrated volatility using high-frequency data with zero durations," Journal of Econometrics, Elsevier, vol. 204(1), pages 18-32.
- Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022. "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, vol. 137(C).
- Maria Elvira Mancino & Simona Sanfelici, 2012.
"Estimation of quarticity with high-frequency data,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 607-622, December.
- Maria Elvira Mancino & Simona Sanfelici, 2011. "Estimation of Quarticity with High Frequency Data," Working Papers - Mathematical Economics 2011-06, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Jan 2012.
- Asai, Manabu & McAleer, Michael, 2015.
"Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance,"
Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
- Per A. Mykland & Neil Shephard & Kevin Sheppard, 2012.
"Efficient and feasible inference for the components of financial variation using blocked multipower variation,"
Economics Papers
2012-W02, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Series Working Papers 593, University of Oxford, Department of Economics.
- Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão 341, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Qu, Hui & Wang, Tianyang & Zhang, Yi & Sun, Pengfei, 2019. "Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
- Audrino, Francesco & Corsi, Fulvio, 2010.
"Modeling tick-by-tick realized correlations,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2372-2382, November.
- Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen.
- Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013.
"Risk spillovers in international equity portfolios,"
Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
- Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012. "Risk spillovers in international equity portfolios," Working Papers 2012-03, Swiss National Bank.
- Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance 1214, University of St. Gallen, School of Finance.
- Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020. "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, vol. 14(C), pages 49-62.
- Neil Shephard & Dacheng Xiu, 2012.
"Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices,"
Economics Series Working Papers
604, University of Oxford, Department of Economics.
- Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers 2012-W04, Economics Group, Nuffield College, University of Oxford.
- Kim, Donggyu & Song, Xinyu & Wang, Yazhen, 2022.
"Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency,"
Journal of Multivariate Analysis, Elsevier, vol. 192(C).
- Donggyu Kim & Xinyu Song & Yazhen Wang, 2020. "Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency," Papers 2006.12039, arXiv.org.
- Bibinger, Markus & Winkelmann, Lars, 2015. "Econometrics of co-jumps in high-frequency data with noise," Journal of Econometrics, Elsevier, vol. 184(2), pages 361-378.
- Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016.
"Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers,"
Journal of Financial Markets, Elsevier, vol. 27(C), pages 55-78.
- Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," Papers 1308.1221, arXiv.org, revised Jul 2014.
- Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo.
- Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," FinMaP-Working Papers 13, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Stefan Lyocsa & Peter Molnar & Igor Fedorko, 2016. "Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 453-475, October.
- Giacomo Toscano & Giulia Livieri & Maria Elvira Mancino & Stefano Marmi, 2021. "Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts," Papers 2112.14529, arXiv.org, revised Sep 2022.
- Bauwens, Luc & Braione, Manuela & Storti, Giuseppe, 2017.
"A dynamic component model for forecasting high-dimensional realized covariance matrices,"
Econometrics and Statistics, Elsevier, vol. 1(C), pages 40-61.
- BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "A dynamic component model for forecasting high-dimensional realized covariance matrices," LIDAM Discussion Papers CORE 2016001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Manuela Braione & Giuseppe Storti, 2020. "A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices," Working Papers 3_234, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno, revised Jul 2020.
- Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," LIDAM Reprints CORE 2812, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2018. "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics," Papers 1803.04894, arXiv.org, revised Mar 2019.
- Yuta Koike, 2013. "Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling," Global COE Hi-Stat Discussion Paper Series gd12-276, Institute of Economic Research, Hitotsubashi University.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019.
"The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures,"
Energies, MDPI, vol. 12(17), pages 1-17, September.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures," Documentos de Trabajo del ICAE 2019-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Asai, M. & Gupta, R. & McAleer, M.J., 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Econometric Institute Research Papers EI2019-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Working Papers 201925, University of Pretoria, Department of Economics.
- Asai Manabu & So Mike K.P., 2015. "Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes," Journal of Time Series Econometrics, De Gruyter, vol. 7(1), pages 69-94, January.
- Luo, Jiawen & Chen, Langnan, 2020. "Realized volatility forecast with the Bayesian random compressed multivariate HAR model," International Journal of Forecasting, Elsevier, vol. 36(3), pages 781-799.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Cambridge Working Papers in Economics
2218, Faculty of Economics, University of Cambridge.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Janeway Institute Working Papers 2208, Faculty of Economics, University of Cambridge.
- Almut Veraart, 2011.
"How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?,"
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