Cover Image

Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Li, Degui, Linton, Oliver, Zhang, Haoxuan
Format:	Preprint
Published:	2024
Subjects:	Econometrics Methodology
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
by: Bu, Ruijun, et al.
Published: (2023)

Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures
by: Leng, Chenlei, et al.
Published: (2024)

Estimation of Grouped Time-Varying Network Vector Autoregression Models
by: Li, Degui, et al.
Published: (2023)

Testing for an Explosive Bubble using High-Frequency Volatility
by: Boswijk, H. Peter, et al.
Published: (2024)

Large-Scale Curve Time Series with Common Stochastic Trends
by: Li, Degui, et al.
Published: (2025)

Data Synchronization at High Frequencies
by: Kong, Xinbing, et al.
Published: (2025)

Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels
by: Hiraki, Daichi, et al.
Published: (2026)

Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models
by: Forneron, Jean-Jacques
Published: (2023)

Cross-sectional Dependence in Idiosyncratic Volatility
by: Kalnina, Ilze, et al.
Published: (2024)

Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications
by: Iacopini, Matteo, et al.
Published: (2022)

Disentangling Structural Breaks in Factor Models for Macroeconomic Data
by: Koo, Bonsoo, et al.
Published: (2023)

Identification and Semiparametric Estimation of Conditional Means from Aggregate Data
by: McCartan, Cory, et al.
Published: (2025)

Dynamic Matrix Factor Models for High Dimensional Time Series
by: Yu, Ruofan, et al.
Published: (2024)

Spot Regressions with Candlesticks
by: Simsek, Yasin
Published: (2025)

Ridge Estimation of High Dimensional Two-Way Fixed Effect Regression
by: He, Junnan, et al.
Published: (2026)

Reevaluating Causal Estimation Methods with Data from a Product Release
by: Young, Justin, et al.
Published: (2026)

Optimal Shrinkage Estimation of Fixed Effects in Linear Panel Data Models
by: Kwon, Soonwoo
Published: (2023)

Structural Change Detection in High-Dimensional Transformed Factor Models via Canonical Correlation Analysis
by: Jia, Lei, et al.
Published: (2026)

Hamiltonian Monte Carlo for Regression with High-Dimensional Categorical Data
by: Sacher, Szymon, et al.
Published: (2021)

Tractable Estimation of Nonlinear Panels with Interactive Fixed Effects
by: Zeleneev, Andrei, et al.
Published: (2025)

Estimating Heterogeneous Treatment Effects with Item-Level Outcome Data: Insights from Item Response Theory
by: Gilbert, Joshua B., et al.
Published: (2024)

CP Factor Model for Dynamic Tensors
by: Han, Yuefeng, et al.
Published: (2021)

Estimating Effects of Long-Term Treatments
by: Huang, Shan, et al.
Published: (2023)

Automatic Order, Bandwidth Selection and Flaws of Eigen Adjustment in HAC Estimation
by: Li, Zhuoxun, et al.
Published: (2025)

Comparing Misspecified Models with Big Data: A Variational Bayesian Perspective
by: Li, Yong, et al.
Published: (2025)

A Hybrid Framework Combining Autoregression and Common Factors for Matrix Time Series
by: Fan, Zhiyun, et al.
Published: (2025)

Inference for Forecasting Accuracy: Pooled versus Individual Estimators in High-dimensional Panel Data
by: Kutta, Tim, et al.
Published: (2025)

Triply Robust Panel Estimators
by: Athey, Susan, et al.
Published: (2025)

Sensitivity Analysis for Linear Estimators
by: Dorn, Jacob, et al.
Published: (2023)

Semiparametric Triple Difference Estimators
by: Akbari, Sina, et al.
Published: (2025)

A New and Efficient Debiased Estimation of General Treatment Models by Balanced Neural Networks Weighting
by: Wu, Zeqi, et al.
Published: (2025)

High Dimensional Factor Analysis with Weak Factors
by: Choi, Jungjun, et al.
Published: (2024)

Matrix Quantile Factor Model
by: Kong, Xin-Bing, et al.
Published: (2022)

A Unified Framework for Estimation of High-dimensional Conditional Factor Models
by: Chen, Qihui
Published: (2022)

Estimation and Inference for CP Tensor Factor Models
by: Chen, Bin, et al.
Published: (2024)

Variance Estimation with Dependence and Heterogeneous Means
by: Yap, Luther
Published: (2026)

Doubly Robust Estimators with Weak Overlap
by: Ma, Yukun, et al.
Published: (2023)

Estimating Program Participation with Partial Validation
by: Denteh, Augustine, et al.
Published: (2025)

Estimation of MIDAS Regressions with Errors-in-the-Variables
by: Kaur, Sukhbir, et al.
Published: (2026)

Quasi-Bayesian Estimation and Inference with Control Functions
by: Liu, Ruixuan, et al.
Published: (2024)