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Covariance estimation using random permutations

Padmakumari, Lakshmi; Maheswaran, S. - In: International journal of financial engineering 5 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011922956

Realized regression with asynchronous and noisy high frequency and high dimensional data

Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10015074483

German register data for regression estimation in survey sampling : a study on the German microcensus respecting for data protection

Wiegert, Rolf; Münnich, Ralf T. - In: Jahrbücher für Nationalökonomie und Statistik 224 (2004) 1/2, pp. 247-259

Persistent link: https://www.econbiz.de/10002190681

Valuation of options on discretely sampled variance : a general analytic approximation

Drimus, Gabriel; Farkas, Walter; Gourier, Elise - In: The journal of computational finance 20 (2016) 2, pp. 39-66

Persistent link: https://www.econbiz.de/10011656703

Variance reduced Shapley value estimation for trustworthy data valuation

Wu, Mengmeng; Jia, Ruoxi; Lin, Changle; Huang, Wei; … - In: Computers & operations research : and their … 159 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014455582

Efficient asymptotic variance reduction when estimating volatility in high frequency data

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142

Persistent link: https://www.econbiz.de/10012110370

Robust estimation and inference for importance sampling estimators with infinite variance

Chan, Joshua; Hou, Chenghan; Yang, Thomas Tao - In: Essays in honor of Cheng Hsiao, (pp. 255-285). 2020

Persistent link: https://www.econbiz.de/10012249406

Bias-corrected realized variance

Yeh, Jin-huei; Wang, Jying-Nan - In: Econometric reviews 38 (2019) 2, pp. 170-192

Persistent link: https://www.econbiz.de/10012180719

Chapter 8 Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance

Chan, Joshua C. C.; Hou, Chenghan; Yang, Thomas Tao - In: Essays in honor of Cheng Hsiao, (pp. 255-285). 2020

Importance sampling is a popular Monte Carlo method used in a variety of areas in econometrics. When the variance of … the importance sampling estimator is infinite, the central limit theorem does not apply and estimates tend to be erratic …

Persistent link: https://www.econbiz.de/10015088870

Adaptive stochastic variance reduction for subsampled Newton method with cubic regularization

Zhang, Junyu; Xiao, Lin; Zhang, Shuzhong - In: INFORMS journal on optimization 4 (2022) 1, pp. 45-64

Persistent link: https://www.econbiz.de/10013184948