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A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns

Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697

Persistent link: https://www.econbiz.de/10011339256

Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects

Corsi, Fulvio; Audrino, Francesco - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 591-616

Persistent link: https://www.econbiz.de/10009671897

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 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

Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity

Grobys, Klaus - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1189-1202

Persistent link: https://www.econbiz.de/10011304126

Wild bootstrap Ljung-Box test for cross correlations of multivariate time series

Lee, Taewook - In: Economics letters 147 (2016), pp. 59-62

Persistent link: https://www.econbiz.de/10011619440

A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

Ejaz, Abdullah; Polak, Petr; Imran, Zulfiqar Ali - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200

Persistent link: https://www.econbiz.de/10012659646

Integrated covariance estimation using high-frequency data in the presence of noise

Voev, Valeri; Lunde, Asger - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 68-104

Persistent link: https://www.econbiz.de/10003518286

On the Correlation Structure of Microstructure Noise : A Financial Economic Approach

Diebold, Francis X. - 2010

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …

Persistent link: https://www.econbiz.de/10013137011

Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model

Da Fonseca, José - 2016

at high frequency and to study the lead-lag relationship as well as the correlation between the stocks within this …

Persistent link: https://www.econbiz.de/10013005817