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Publications [#342812] of Tim Bollerslev

Journal Articles

  1. Bollerslev, T; Meddahi, N; Nyawa, S, High-dimensional multivariate realized volatility estimation, Journal of Econometrics (January, 2019) [doi]
    (last updated on 2019/06/15)

    Abstract:
    © 2019 Elsevier B.V. We provide a new factor-based estimator of the realized covolatility matrix, applicable in situations when the number of assets is large and the high-frequency data are contaminated with microstructure noises. Our estimator relies on the assumption of a factor structure for the noise component, separate from the latent systematic risk factors that characterize the cross-sectional variation in the frictionless returns. The new estimator provides theoretically more efficient and finite-sample more accurate estimates of large-scale integrated covolatility and correlation matrices than other recently developed realized estimation procedures. These theoretical and simulation-based findings are further corroborated by an empirical application related to portfolio allocation and risk minimization involving several hundred individual stocks.


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