Chen and Deo (2009a) proposed procedures based on restricted maximum likelihood (REML) for estimation and inference in … the context of predictive regression. Their method achieves bias reduction in both estimation and inference which assists …

This paper proposes a novel covariance estimator via a machine learning approach when both the sampling frequency and …, our method simultaneously provides a consistent estimation of these two components in a one-step procedure. Moreover, in …

asymptotic normality for general MSMD specifications. We show that the Whittle estimation is a computationally simple and fast …

estimation properties of the method and test its predictive power on S&P 500 option data, comparing it as well with other recent …

This paper introduces a unified multivariate overnight GARCH-Ito model for volatility matrix estimation and prediction … weighted least squares estimation procedure for estimating model parameters with open-to-close high-frequency and close … the proposed estimation and prediction methods.The empirical analysis is carried out to compare the performance of the …