Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
D Li, O Linton, H Zhang - arXiv preprint arXiv:2403.06246, 2024 - arxiv.org
We propose a new estimator of high-dimensional spot volatility matrices satisfying a low-
rank plus sparse structure from noisy and asynchronous high-frequency data collected for …
rank plus sparse structure from noisy and asynchronous high-frequency data collected for …
Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix
J Akahori, NL Liu, ME Mancino, T Mariotti… - arXiv preprint arXiv …, 2023 - arxiv.org
In this paper we propose an estimator of spot covariance matrix which ensure symmetric
positive semi-definite estimations. The proposed estimator relies on a suitable modification …
positive semi-definite estimations. The proposed estimator relies on a suitable modification …
Spot volatility and covariance estimation on high frequency data using the Fourier methodology: microstructure noise, Limit Order Book and positive semi-definiteness
T Mariotti - 2024 - ricerca.sns.it
This work aims at further developing the literature on the Fourier estimator, originally
proposed by Malliavin and Mancino (2002), analyzing in particular the spot estimator with …
proposed by Malliavin and Mancino (2002), analyzing in particular the spot estimator with …
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
OB Linton, D Li, H Zhang - Available at SSRN 4730410 - papers.ssrn.com
We propose a new estimator of high-dimensional spot volatility matrices satisfying a low-
rank plus sparse structure from noisy and asynchronous high-frequency data collected for …
rank plus sparse structure from noisy and asynchronous high-frequency data collected for …