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Essays on Financial Econometrics: Price Duration-based Variance and Covariance Estimation Using High-frequency Financial Data

机译：金融计量经济学论文中的论文：使用高频财务数据的基于价格持续时间的方差和协方差估算

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作者
?Wang, Caiqin;
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作者单位

North Carolina State University;

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授予单位 North Carolina State University;
学科
学位 Ph.D.
年度 2020
页码 121 p.
总页数 121
原文格式 PDF
正文语种 eng
中图分类
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专利

1. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data [J] . Yacine Aiet-Sahalia, rnJianqing Fan, rnDacheng Xiu Journal of the American statistical association . 2010,第492期

机译：带有嘈杂和异步财务数据的高频协方差估计
2. Fluctuation scaling and covariance matrix of constituents′ flows on a bipartite graph: Empirical analysis with high-frequency financial data based on a Poisson mixture model [J] . Sato A.-H., Hayashi T. The European physical journal, B. Condensed matter physics . 2010,第4期

机译：二分图上成分流的波动标度和协方差矩阵：基于泊松混合模型的高频金融数据的经验分析
3. Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data [J] . Ho Michael, Xin Jack Mathematical Programming . 2019,第1a2期

机译：稀疏卡尔曼滤波方法实现高频财务数据的协方差估算
4. ON COVARIANCE ESTIMATION FOR HIGH-FREQUENCY FINANCIAL DATA [C] . Takaki HAYASHI, Nakahiro YOSHIDA IASTED International Conference on Financial Engineering and Applications . 2006

机译：高频财务数据的协方差估算
5. Beyond Merton's utopia: Effects of non-normality and dependence on the precision of variance estimates using high-frequency financial data (Robert C. Merton). [D] . Bai, Xuezheng. 2000

机译：超越默顿的乌托邦：使用高频财务数据得出的非正态性和对方差估计精度的依赖（Robert C. Merton）。
6. The value of Monte Carlo model-based variance reduction technology in the pricing of financial derivatives [O] . Yunyu Zhang 2020

机译：基于蒙特卡洛模型的方差减少技术在金融衍生产品定价中的价值
7. Essays on Nonparametric Series Estimation with Application to Financial Econometrics [O] . Chang Meng-Shiuh 2011

机译：非参数级数估计的论文及其在金融计量经济学中的应用

Essays on Financial Econometrics: Price Duration-based Variance and Covariance Estimation Using High-frequency Financial Data

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