&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …

&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization …

estimation of the covariances if traditional methods for low-frequency data are employed. We propose to model intraday log … microstructure noise is taken into account, (iii) estimation is performed by standard maximum likelihood. Our empirical analysis …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

This paper introduces a unified multivariate overnight GARCH-Ito model for volatility matrix estimation and prediction … weighted least squares estimation procedure for estimating model parameters with open-to-close high-frequency and close … the proposed estimation and prediction methods.The empirical analysis is carried out to compare the performance of the …