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Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
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The 35 checked references that resolve
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High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
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How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
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Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
resolves10.1093/rfs/4.2.315
On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
resolves10.3905/jpm.1993.409440
The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
resolves10.1111/0022-1082.00343
Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets
resolves10.1198/016214507000001067
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
resolves10.1016/j.jeconom.2008.09.017
High dimensional covariance matrix estimation using a factor model
resolves10.2139/ssrn.1307423
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios
resolves10.3150/bj/1116340299
On covariance estimation of non-synchronously observed diffusion processes
resolves10.1002/jae.1218
A blocking and regularization approach to high‐dimensional realized covariance estimation
resolves10.1111/1540-6261.00580
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
resolves10.1016/j.spa.2008.11.004
Microstructure noise in the continuous case: The pre-averaging approach
resolves10.1214/aos/1009210543
resolves10.1016/j.jeconom.2010.05.001
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
resolves10.1214/09-aos720
Sparsistency and rates of convergence in large covariance matrix estimation
resolves10.1198/jasa.2011.tm10276
Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
resolves10.1016/j.jeconom.2010.07.002
Quasi-maximum likelihood estimation of volatility with high frequency data
resolves10.3150/bj/1165269149
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
resolves10.1214/11-aos939
On the estimation of integrated covariance matrices of high dimensional diffusion processes
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