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University of Chicago - Booth School of Business
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quasi-likelihood, two-step estimator, heavy-tailed error
Integrated volatility, Market microstructure noise, Quasi-Maximum Likelihood Estimator, Realized Kernels, Stochastic volatility
Ito Semimartingale, High Frequency, Spectral Function, Eigenvalue, Eigenvector, Principal Components, Three Factor Model
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Option Valuation, Closed-Form Expansion, Mean-Reversion, Self-Exciting Jumps, Double Exponential Jumps
Market microstructure noise, Covariance, Quasi-Maximum Likelihood Estimator, Refresh Time, Generalized Synchronization
EM algorithm, Kalman filter, market microstructure noise, non-synchronous data, quasi-likelihood, semimartingale
Quadratic covariation, continuous and jump components, overnight jumps, news surprises, financial crisis
big data, high-frequency factor model, GICS, location-based thresholding, low rank plus sparse, precision matrix, positive-definite, concentration inequality, SDPR sector ETF’s
Non-Affine Derivative Pricing Models, Log Volatility Models, Quadratic Volatility Models, Downward Volatility Jumps, Variance Swaps
high frequency data, semimartingale, VIX, spot volatility, bias correction, GMM
high frequency data, semimartingale, spot volatility, nonlinearity bias, GMM
semimartingale, spot correlation, VIX, implied volatility, high frequency data
Factors, Risk Price, Post-Selection Inference, Regularized Two-Pass Estimation, Machine Learning, LASSO
high-dimensional data, high-frequency data, factor model, pre-averaging estimator, portfolio allocation, low-rank plus sparse covariance matrix, Barra covariance estimator
Three-Pass Estimator, Empirical Asset Pricing Models, PCA, Latent Factors, Omitted Factors, Fama-MacBeth Regression
Hausman test, market microstructure noise, realized volatility, QMLE, TSRV, preaveraging, super-efficiency, local power
High-dimensional data, high-frequency, latent factor model, principal components, portfolio optimization
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