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Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices. (2012). Xiu, Dacheng ; Shephard, Neil.
In: Economics Series Working Papers.
RePEc:oxf:wpaper:604.

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  1. Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances. (2017). Elst, Harry Vander ; Veredas, David.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:15:y:2017:i:1:p:106-138..

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  2. Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. (2016). Zou, Jian ; Kim, Donggyu ; Wang, Yazhen.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:126:y:2016:i:11:p:3527-3577.

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  3. A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns. (2015). Peluso, Stefano ; Mira, Antonietta ; Corsi, Fulvio.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:13:y:2015:i:3:p:665-697..

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  4. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Elst, Harry Vander ; Veredas, David.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws142416.

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  5. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Veredas, David ; Elst, Harry Vander.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:es142416.

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  6. An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps. (2014). Koike, Yuta.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:41:y:2014:i:2:p:460-481.

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References

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