FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA

Asymptotic equivalence for inference on the volatility from noisy observations

(2011) Markus Reiß   ANNALS OF STATISTICS

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

(2011) Ole E. Barndorff-Nielsen et al.   JOURNAL OF ECONOMETRICS

Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches

(2011) Minjing Tao et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

(2010) Kim Christensen et al.   JOURNAL OF ECONOMETRICS

Covariance measurement in the presence of non-synchronous trading and market microstructure noise

(2010) Jim E. Griffin et al.   JOURNAL OF ECONOMETRICS

Edgeworth expansions for realized volatility and related estimators

(2010) Lan Zhang et al.   JOURNAL OF ECONOMETRICS

Estimating covariation: Epps effect, microstructure noise

(2010) Lan Zhang   JOURNAL OF ECONOMETRICS

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

(2010) Yacine Aït-Sahalia et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Covariance regularization by thresholding

(2009) Peter J. Bickel et al.   ANNALS OF STATISTICS

Sequential conditional correlations: Inference and evaluation

(2009) Alessandro Palandri   JOURNAL OF ECONOMETRICS

NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH

(2009) Dennis Kristensen   ECONOMETRIC THEORY