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Citations for "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading"

by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard

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  1. Massimiliano Caporin & Michael McAleer, 2012. "Robust Ranking of Multivariate GARCH Models by Problem Dimension," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 12/06, University of Canterbury, Department of Economics and Finance.
  2. Mancino Maria Elvira & Simona Sanfelici, 2009. "Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa 2009-09, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  3. Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print, HAL peer-00732537, HAL.
  4. Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2013. "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns," CREATES Research Papers, School of Economics and Management, University of Aarhus 2013-07, School of Economics and Management, University of Aarhus.
  5. Francis X. Diebold & Georg Strasser, 2010. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," NBER Working Papers 16469, National Bureau of Economic Research, Inc.
  6. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," Cahiers de recherche, CIRPEE 0948, CIRPEE.
  7. Selma Chaker, 2013. "Volatility and Liquidity Costs," Working Papers, Bank of Canada 13-29, Bank of Canada.
  8. Massimiliano Caporin & Michael McAleer, 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 11/23, University of Canterbury, Department of Economics and Finance.
  9. Tsiaras, Leonidas, 2009. "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2009-02, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  10. Kim Christensen & Mark Podolskij & Mathias Vetter, 2011. "On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes," CREATES Research Papers, School of Economics and Management, University of Aarhus 2011-53, School of Economics and Management, University of Aarhus.
  11. Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 1928-1942.
  12. Roxana Halbleib & Valeri Voev, 2012. "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz 2012-30, Department of Economics, University of Konstanz.
  13. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-56, School of Economics and Management, University of Aarhus.
  14. Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd12-269, Institute of Economic Research, Hitotsubashi University.
  15. Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen 2008-05, Department of Economics, University of St. Gallen.
  16. Fengler, Matthias & Okhrin, Ostap, 2012. "Realized Copula," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1214, University of St. Gallen, School of Economics and Political Science.
  17. Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  18. Xin-Bing Kong, 2013. "A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, Springer, vol. 22(4), pages 647-669, November.
  19. Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
  20. Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011. "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 220-234, January.
  21. Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2012. "Jump robust daily covariance estimation by disentangling variance and correlation components," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 2993-3005.
  22. Rasmus Tangsgaard Varneskov & Valeri Voev, 2010. "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers, School of Economics and Management, University of Aarhus 2010-45, School of Economics and Management, University of Aarhus.
  23. Zhang, Lan, 2011. "Estimating covariation: Epps effect, microstructure noise," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 33-47, January.
  24. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 08-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  25. Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Series Working Papers, University of Oxford, Department of Economics 604, University of Oxford, Department of Economics.
  26. Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers, School of Economics and Management, University of Aarhus 2014-05, School of Economics and Management, University of Aarhus.
  27. Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012. "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1202, University of St. Gallen, School of Economics and Political Science.
  28. Vortelinos, Dimitrios I., 2013. "Portfolio analysis of intraday covariance matrix in the Greek equity market," Research in International Business and Finance, Elsevier, Elsevier, vol. 27(1), pages 66-79.
  29. Connor, Gregory & Suurlaht, Anita, 2013. "Dynamic stock market covariances in the Eurozone," Journal of International Money and Finance, Elsevier, Elsevier, vol. 37(C), pages 353-370.
  30. Rasmus Tangsgaard Varneskov, 2011. "Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise," CREATES Research Papers, School of Economics and Management, University of Aarhus 2011-31, School of Economics and Management, University of Aarhus.
  31. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers, Kyoto University, Institute of Economic Research 840, Kyoto University, Institute of Economic Research.
  32. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
  33. Dovonon, Prosper & Goncalves, Silvia & Meddahi, Nour, 2010. "Bootstrapping realized multivariate volatility measures," MPRA Paper 40123, University Library of Munich, Germany.
  34. Viktor Todorov & Tim Bollerslev, 2007. "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers, School of Economics and Management, University of Aarhus 2007-15, School of Economics and Management, University of Aarhus.
  35. Ingmar Nolte & Valeri Voev, 2011. "Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(1), pages 94-108, April.
  36. Griffin, Jim E. & Oomen, Roel C.A., 2011. "Covariance measurement in the presence of non-synchronous trading and market microstructure noise," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 58-68, January.
  37. Kevin Sheppard, 2014. "Factor High-Frequency Based Volatility (HEAVY) Models," Economics Series Working Papers, University of Oxford, Department of Economics 710, University of Oxford, Department of Economics.
  38. Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance, University of St. Gallen, School of Finance 1214, University of St. Gallen, School of Finance.
  39. Almut E. D. Veraart, 2010. "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," CREATES Research Papers, School of Economics and Management, University of Aarhus 2010-65, School of Economics and Management, University of Aarhus.
  40. Jianqing Fan & Yingying Li & Ke Yu, 2010. "Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection," Papers 1004.4956, arXiv.org.
  41. Koike, Yuta, 2014. "Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 124(8), pages 2699-2753.
  42. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) 341, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  43. Liu, Cheng & Tang, Cheng Yong, 2014. "A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data," Journal of Econometrics, Elsevier, Elsevier, vol. 180(2), pages 217-232.
  44. Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Series Working Papers, University of Oxford, Department of Economics 593, University of Oxford, Department of Economics.
  45. Wang, Kent & Liu, Junwei & Liu, Zhi, 2013. "Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(5), pages 1777-1786.
  46. Bibinger, Markus, 2012. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 122(6), pages 2411-2453.
  47. Pawel Janus & Andr� Lucas & and Anne Opschoor, 2014. "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers, Tinbergen Institute 14-073/IV, Tinbergen Institute.
  48. Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012. "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers, School of Economics and Management, University of Aarhus 2012-56, School of Economics and Management, University of Aarhus.
  49. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 40(C), pages 443-459.
  50. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, Elsevier, vol. 173(1), pages 83-107.
  51. Masato Ubukata & Toshiaki Watanabe, 2014. "Market variance risk premiums in Japan for asset predictability," Empirical Economics, Springer, Springer, vol. 47(1), pages 169-198, August.