Positive semidefinite integrated covariance estimation, factorizations and asynchronicity-Reference-Cited by-同舟云学术

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Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

Published:2017-02 Issue:2 Volume:196 Page:347-367
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

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

Funder

Netherlands Organisation for Scientific Research

Equip@Meso

Danish National Research Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference49 articles.

1. Dynamic conditional correlation: on properties and estimation;Aielli;J. Bus. Econom. Statist.,2013

2. High-frequency covariance estimates with noisy and asynchronous financial data;Aït-Sahalia;J. Amer. Statist. Assoc.,2010

3. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

4. Realized beta: Persistence and predictability;Andersen;Adv. Econom.,2006

5. Separating microstructure noise from volatility;Bandi;J. Financ. Econ.,2006

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