We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high …&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization … ; microstructure ; asynchronous trading …

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high …&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization … ; Microstructure ; Asynchronous Trading …

We introduce a blocking and regularization approach to estimate high-dimensional covariances using high frequency data … the resulting blocking and regularization ("RnB") estimator is analyzed in an extensive simulation study mimicking the … liquidity and market microstructure features of the S&P 1500 universe. The RnB estimator yields efficiency gains for varying …

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

theorems and an explicit test on serial dependence in microstructure noise. Using transaction data of different stocks traded … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …. -- Quadratic Variation ; Market Microstructure Noise ; Pre-averaging ; Sampling Schemes ; Jumps …

theorems and an explicit test on serial dependence in microstructure noise. Using transaction data of different stocks traded … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …

of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …

bias due to this mixed-type microstructure effect. Simulation and empirical studies on the tick-by-tick trade price data …