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Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading

Hounyo, Ulrich - In: Journal of econometrics 197 (2017) 1, pp. 130-152

Persistent link: https://www.econbiz.de/10011818349

Statistical inference of spot correlation and spot market beta under infinite variation jumps

Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654

Persistent link: https://www.econbiz.de/10013349148

Incorporating weekend information in stock prices : evidence from Israeli stock market

Kudryavtsev, Andrey; Cohen, Gil; Pavlodsky, Julia - In: Journal of finance and investment analysis 1 (2012) 4, pp. 1-14

In present study, we contribute to the discussion on international stock market correlations, by analyzing interdependencies between stock returns in US and Israeli stock exchanges. In particular, we concentrate on the original feature of Tel Aviv Stock Exchange (TASE) where the trading week...

Persistent link: https://www.econbiz.de/10009745503

A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data

Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257

Persistent link: https://www.econbiz.de/10012110378

Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise

Park, Sujin; Linton, Oliver - 2012

Persistent link: https://www.econbiz.de/10009552168

Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices

Varneskov, Rasmus Tangsgaard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011691138

Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

Park, Sujin; Hong, Seok Young; Linton, Oliver - In: Journal of econometrics 191 (2016) 2, pp. 325-347

Persistent link: https://www.econbiz.de/10011610563

Weighted least squares realized covariation estimation

Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013460187

Testing high-dimensional covariance matrices under the elliptical distribution and beyond

Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423

Persistent link: https://www.econbiz.de/10012619243

High dimensional correlation matrices : CLT and its applications

Gao, Jiti; Han, Xiao; Pan, Guangming; Yang, Yanrong - 2014

Persistent link: https://www.econbiz.de/10011781035

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