Orimar Sauri

Aalborg University - Department of Mathematical Sciences

Fredrik Bajers Vej 7E

Aalborg

Denmark

http://https://vbn.aau.dk/en/persons/143608

Aarhus University - School of Business and Social Sciences

Nordre Ringgade 1

Aarhus C, DK-8000

Denmark

  • Aalborg University - Department of Mathematical Sciences

  • Aarhus University - School of Business and Social Sciences

SCHOLARLY PAPERS

4

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1,023

SSRN CITATIONS

9

CROSSREF CITATIONS

0

Scholarly Papers (4)

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1.

ETF Basket-Adjusted Covariance Estimation

Number of pages: 58 Posted: 02 Mar 2021 Last Revised: 09 Jun 2022
Kris Boudt, Kirill Dragun, Orimar Sauri and Steven Vanduffel
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 548 (93,861)
Citation 1

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High-frequency data; realized covariances, ETF, asynchronicity, stock-ETF covariation, Localized Hayashi-Yoshida, Index tracking

2.

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Journal of Econometrics, 196, 347-367, 2016
Number of pages: 58 Posted: 24 Jan 2014 Last Revised: 21 Nov 2017
Kris Boudt, Sébastien Laurent, Asger Lunde, Asger Lunde, Rogier Quaedvlieg and Orimar Sauri
Ghent University, AMSE, CREATESAarhus University - School of Business and Social Sciences, European Central Bank (ECB) and Aalborg University - Department of Mathematical Sciences
Downloads 181 (302,861)
Citation 7

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Cholesky decomposition, Integrated covariance, Positive semidefinite

3.

A Mathematical Framework for the Microstructure of Financial Markets

Number of pages: 36 Posted: 01 Dec 2023
Toke Zinn, Orimar Sauri, Jesper Jung and Esben Høg
Aalborg University - Department of Mathematical Sciences, Aalborg University - Department of Mathematical Sciences, Centrica Energy A/S and Aalborg University - Department of Mathematical Sciences
Downloads 178 (307,419)

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4.

Supplementary Appendix to Beta-Adjusted Covariance Estimation

Number of pages: 19 Posted: 14 Apr 2021
Kris Boudt, Kirill Dragun, Orimar Sauri and Steven Vanduffel
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 116 (433,798)
Citation 1

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BAC, Covariance, ETF, Python, R