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Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Park, Sujin ; Hong, Seok Young .
In: Journal of Econometrics.
RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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  1. Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data. (2024). Fan, Jianqing ; Shin, Minseok ; Kim, Donggyu.
    In: Working Papers.
    RePEc:ucr:wpaper:202419.

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  2. Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen.
    In: Working Papers.
    RePEc:ucr:wpaper:202415.

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  3. Nonparametric estimation for high-frequency data incorporating trading information. (2024). Wang, Jiandong ; Hu, Jie ; Cui, Wenhao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

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  4. Adaptive robust large volatility matrix estimation based on high-frequency financial data. (2023). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002300.

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  5. Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2022). Wang, H ; Linton, O ; Bu, R.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:2218.

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  6. Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira.
    In: Papers.
    RePEc:arx:papers:2209.08967.

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  7. .

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  8. Estimation of a multiplicative correlation structure in the large dimensional case. (2020). Hafner, Christian ; Linton, Oliver B ; Tang, Haihan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:217:y:2020:i:2:p:431-470.

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  9. Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

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  10. The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times. (2019). Mykland, Per A ; Chen, Dachuan ; Zhang, Lan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:101-119.

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  11. The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. (2019). Chen, Richard Y.
    In: Papers.
    RePEc:arx:papers:1911.02205.

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  12. Inference for Multi-dimensional High-frequency Data with an Application to Conditional Independence Testing. (2016). Bibinger, Markus ; Mykland, Per A.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:43:y:2016:i:4:p:1078-1102.

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  11. The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). , Philip ; Ng, F C ; Li, W K.
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