Similar Search Results

Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components

Boudt, Kris - 2012

We propose a jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high …-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate … covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the …

Persistent link: https://www.econbiz.de/10013115577

Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends

McCloskey, Adam - 2012

I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of additive low-frequency contamination in log-squared...

Persistent link: https://www.econbiz.de/10013098304

Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends

McCloskey, Adam - 2012 - This version: October 2012

Persistent link: https://www.econbiz.de/10009660446

Between Data Cleaning and Inference : Pre-Averaging and Robust Estimators of the Efficient Price

Mykland, Per A. - 2016

Pre-averaging is a popular strategy for mitigating microstructure in high frequency financial data. As the term suggests, transaction or quote data are averaged over short time periods ranging from 30 seconds to five minutes, and the resulting averages approximate the efficient price process...

Persistent link: https://www.econbiz.de/10012996161

How Many Observations Should One Use When Calculating Historical Estimators for Expected Returns, Volatilities and Correlations?

Steiner, Andreas - 2022

Deriving estimators from historical data is common practice in applied quantitative finance. The availability of ever larger data sets and easier access to statistical algorithms has also led to an increased usage of historical estimators. In this research note, we illustrate how to assess the...

Persistent link: https://www.econbiz.de/10014236566

Model misspecification and bias for inverse probability weighting and doubly robust estimators

Waernbaum, Ingeborg; Pazzagli, Laura - 2017

conditions in the comparisons, the covariance between the propensity score model error and the conditional outcomes plays an …

Persistent link: https://www.econbiz.de/10011796394

A Robust Approach to Estimating Production Functions : Replication of the ACF Procedure

Kim, Kyoo il - 2018

We study Ackerberg, Caves, and Frazer (2015)'s production function estimation method using Monte Carlos simulations. First, we replicate their results by using the same procedure and confirm the existence, as noted by ACF, of a spurious minimum in the estimation. In the population, or when the...

Persistent link: https://www.econbiz.de/10012932473

Robust correlation estimation with missing data

Cheng, Tsung-Chi; Victoria-Feser, Maria-Pia - 2000

Persistent link: https://www.econbiz.de/10001645100

Jump robust daily covariance estimation by disentangling variance and correlation components

Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - 2010

Persistent link: https://www.econbiz.de/10008989131

Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency

Kalnina, Ilze; Xiu, Dacheng - 2015

Persistent link: https://www.econbiz.de/10011419309