Missing in Asynchronicity: A Kalman-em Approach for Multivariate Realized Covariance Estimation
Author:
Affiliation:
1. Ca' Foscari University of Venice; Italy
2. City University London; UK
3. Swiss Finance Institute; University of Lugano; Switzerland
4. University of St Gallen; Switzerland
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/jae.2378/fullpdf
Reference55 articles.
1. High-frequency covariance estimates with noisy and asynchronous financial data;Ait-Sahalia;Journal of the American Statistical Association,2010
2. The distribution of realized exchange rate volatility;Andersen;Journal of the American Statistical Association,2001
3. Modeling and forecasting realized volatility;Andersen;Econometrica,2003
4. Bandi F Russell J 2005 Realized covariation, realized beta and microstructure noise
5. Non-Gaussian Ornstein-Uhlembech-based models and some of their uses in financial economics;Barndorff-Nielsen;Journal of the Royal Statistical Society, Series B,2001
Cited by 47 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Major Issues in High-frequency Financial Data Analysis: A Survey of Solutions;SSRN Electronic Journal;2024
2. Bias-Corrected Realized Covariation in the Presence of Price Staleness;2024
3. A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics;Quantitative Finance;2022-10-21
4. High-dimensional realized covariance estimation: a parametric approach;Quantitative Finance;2022-08-31
5. Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices;Journal of Business & Economic Statistics;2022-06-24
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3