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

By Jim E. Griffin, Roel C. A. Oomen. 2011

110 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/382783f7d08dcbc7fd76bee09f94d9632dd5f674

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Citations in the corpus

Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data (2010, unknown): “This reaffirms previous empirical work (see, e.g., Barndorff-Nielsen, Hansen, Lunde, and Shephard, 2008b; Griffin and Oomen, 2006; Voev and Lunde, 2007), so these results are not surprising or novel.”
Bootstrapping realized multivariate volatility measures (2010, background): “Less is known when the two effects are present; see however the analysis in Zhang (2010), Griffin and Oomen (2006), Voev and Lunde (2007), and more recently, Barndorff-Nielsen, Hansen, Lunde and Shephard (2008b).”
Estimating Covariation: Epps Effect, Microstructure Noise (2011, unknown): “Other work investigating the combination of asynchronicity and microstructure noise includes Lunde and Voev (2007) and Griffin and Oomen (2007) .”
A blocking and regularization approach to high dimensional realized covariance estimation (2012, unknown): “In a univariate setting, Hansen and Lunde (2005) propose choosing the weights by minimizing the mean squared error with respect to the underlying (‘true’) quadratic variation and show that the scaling factors can be computed as ω1,j D 1 0 1 and ω2,j D 0 2 , with 0 D E IVt , 1 D E r2 CO,t , 2 D E RVO”
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY (2012, background): “This is the underlying framework of several test for parameter constancy including that of Hansen (1992) (linear regression models) and that of Hansen and Johansen (1999) (cointegration VAR).”
Realized Wishart-Garch: A Score-Driven Multi-Asset Volatility Model (2016, unknown): “We assume that realized covariance Xt is available on each day t as it can be measured consistently by the multivariate realized kernel of Barndorff-Nielsen et al. (2011a) or related measures described by Griffin and Oomen (2011).”
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice (2016, unknown): “…recent studies, it has been confirmed that realized covariances computed over shorter fixed time periods underestimate the degree of dependence between assets (see, e.g., Renò 2003; Hayashi and Yoshida 2005; Voev and Lunde 2007; Griffin and Oomen 2011; Zhang 2011b; Barndorff-Nielsen et al. 2011).”