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High-Frequency Covariance Matrix Estimation Using Price Durations

Zhao, Xiaolu - 2018

We propose a price duration based covariance matrix estimator using high frequency transactions data. The effect of the last-tick time-synchronisation methodology, together with effects of important market microstructure components is analysed through a comprehensive Monte Carlo study. To...

Persistent link: https://www.econbiz.de/10012921768

Covariates hiding in the tails

Bachem, Milian; Ergun, Lerby M.; Vries, Casper G. de - 2021 - Last updated: September 29, 2021

Scaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, time variation in estimated tail indices may be erroneous. In the case of a linear factor model, the factor biases the tail indices in the left and...

Persistent link: https://www.econbiz.de/10012627934

Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps

Hizmeri, Rodrigo; Izzeldin, Marwan; Nolte, Ingmar - 2021

their occurrence raises correlation and persistence among assets. Our application to 20 Dow Jones stocks, shows that common …

Persistent link: https://www.econbiz.de/10013242369

Robust Estimation of a High-Dimensional Integrated Covariance Matrix

Morimoto, Takayuki - 2015

statistically significant sample sizes. We focus on noise-robust covariance estimation under converse circumstances; that is, a high …-dimensional covariance matrix possibly with a small sample size. For the estimation, we utilize a statistical hypothesis test based on the …

Persistent link: https://www.econbiz.de/10013037262

The Power of (Non-)Linear Shrinking : A Review and Guide to Covariance Matrix Estimation

Ledoit, Olivier - 2020

difficult estimation problem; the sample covariance matrix certainly will not do. In this paper, we review our work in this area …

Persistent link: https://www.econbiz.de/10012849284

Large Non-Stationary Noisy Covariance Matrices : A Cross-Validation Approach

W. C. Tan, Vincent; Zohren, Stefan - 2021

We introduce a novel covariance estimator that exploits the heteroskedastic nature of financial time series by employing exponential weighted moving averages and shrinking the in-sample eigenvalues through cross-validation. Our estimator is model-agnostic in that we make no assumptions on the...

Persistent link: https://www.econbiz.de/10013244599

Estimating the quadratic covariation matrix from noisy observations : local method of moments and efficiency

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013

-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation …. Simulations illustrate the finite-sample behaviour. -- adaptive estimation ; asymptotic equivalence ; asynchronous observations … ; integrated covolatility matrix ; quadratic covariation ; semiparametric efficiency ; microstructure noise ; spectral estimation …

Persistent link: https://www.econbiz.de/10009738265

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise : asymptotic distribution theory

Bibinger, Markus - 2011

The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô …, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in …

Persistent link: https://www.econbiz.de/10009151649

Asymptotics of asynchronicity

Bibinger, Markus - 2011

In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...

Persistent link: https://www.econbiz.de/10009151650

A fast algorithm for the computation of HAC covariance matrix estimators

Heberle, Jochen; Sattarhoff, Cristina - In: Econometrics : open access journal 5 (2017) 1, pp. 1-16

) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast …-established alternative algorithms. The cumulative effect is substantial if the HAC estimation problem has to be solved repeatedly. Moreover …

Persistent link: https://www.econbiz.de/10011653828