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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
Fan, Jianqing - 2017
novel statistical methods have been introduced to address large volatility matrix estimation problems from a high … Huber loss function with a diverging threshold to develop a robust realized volatility estimation. We show that it has the …High-frequency financial data allow us to estimate large volatility matrices with relatively short time horizon. Many …
Persistent link: https://www.econbiz.de/10012941604
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On the choice of covariance specifications for portfolio selection problems
Ferreira, Alexandre R.; Santos, André A. P. - In: Brazilian review of econometrics : BRE ; the review of … 37 (2017) 1, pp. 89-122
Persistent link: https://www.econbiz.de/10011860512
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Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng; Ai, Chunrong; Shi, Yanlong; Ying, Tingting; … - In: Journal of forecasting 42 (2023) 8, pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
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Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing; Lu, Kun; Xiu, Dacheng - In: Journal of econometrics 208 (2019) 1, pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
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Tests of no cross-sectional error dependence in panel quantile regressions
Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023
This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...
Persistent link: https://www.econbiz.de/10014366629
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Estimating time-varying networks for high-dimensional time series
Chen, Jia; Li, Degui; Li, Yuning; Linton, Oliver - 2022 - Version: December 13, 2022
Persistent link: https://www.econbiz.de/10013503856
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.; Li, Wai Keung; Yu, Philip L. H. - In: The journal of risk model validation 14 (2020) 2, pp. 21-39
Persistent link: https://www.econbiz.de/10014335946