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Journal of Business & Economic Statistics Volume 39, 2021 - Issue 4
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Research Article

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics

Giuseppe Buccheria University of Rome Tor Vergata, Rome, Italy
,
Giacomo Bormettib University of Bologna, Bologna, ItalyORCID Iconhttps://orcid.org/0000-0003-3542-2505
ORCID Icon,
Fulvio Corsic University of Pisa, Pisa, Italy;d City University of London, London, UK
&
Fabrizio Lillob University of Bologna, Bologna, Italy;e CADS, Human Technopole, Milan, ItalyCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-4931-4057
ORCID Icon
Pages 920-936 | Published online: 07 Apr 2020

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Gustav Alfelt, Taras Bodnar, Farrukh Javed & Joanna Tyrcha. (2023) Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices. Journal of Business & Economic Statistics 41:3, pages 833-845.
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Szabolcs Blazsek & Richard Bowen. (2023) Score-driven cryptocurrency and equity portfolios. Applied Economics 0:0, pages 1-20.
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G. Buccheri & G. Mboussa Anga. (2022) High-dimensional realized covariance estimation: a parametric approach. Quantitative Finance 22:11, pages 2093-2107.
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Vladimír Holý & Petra Tomanová. (2022) Modeling price clustering in high-frequency prices. Quantitative Finance 22:9, pages 1649-1663.
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Davide Delle Monache, Ivan Petrella & Fabrizio Venditti. (2021) Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model. Journal of Business & Economic Statistics 39:4, pages 1054-1065.
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Giuseppe Buccheri, Fulvio Corsi & Stefano Peluso. (2021) High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model. Journal of Business & Economic Statistics 39:3, pages 605-621.
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Tingguo Zheng & Shiqi Ye. (2023) Cholesky GAS models for large time-varying covariance matrices. Journal of Management Science and Engineering.
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Lei Hua. (2023) Discovering Intraday Tail Dependence Patterns via a Full-Range Tail Dependence Copula. Risks 11:11, pages 195.
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Astrid Ayala, Szabolcs Blazsek & Adrian Licht. (2023) Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets. Studies in Nonlinear Dynamics & Econometrics 0:0.
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Richard T. A. Samuel, Charles Chimedza & Caston Sigauke. (2023) Simulation Framework to Determine Suitable Innovations for Volatility Persistence Estimation: The GARCH Approach. Journal of Risk and Financial Management 16:9, pages 392.
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Alina Stundziene, Vaida Pilinkiene, Jurgita Bruneckiene, Andrius Grybauskas, Mantas Lukauskas & Irena Pekarskiene. (2023) Future directions in nowcasting economic activity: A systematic literature review. Journal of Economic Surveys.
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Xinquan Zhou, Guillaume Bagnarosa, Alexandre Gohin, Joost M.E. Pennings & Philippe Debie. (2023) Microstructure and high-frequency price discovery in the soybean complex. Journal of Commodity Markets 30, pages 100314.
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Leonardo Ieracitano Vieira & Márcio Poletti Laurini. (2022) Time-varying higher moments in Bitcoin. Digital Finance 5:2, pages 231-260.
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Chiranjit Dutta, Kara Karpman, Sumanta Basu & Nalini Ravishanker. (2022) Review of Statistical Approaches for Modeling High-Frequency Trading Data. Sankhya B 85:S1, pages 1-48.
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Arnab Chakrabarti & Rituparna Sen. (2022) Copula Estimation for Nonsynchronous Financial Data. Sankhya B 85:S1, pages 116-149.
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Giuseppe Buccheri, Stefano Grassi & Giorgio Vocalelli. (2023) Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility. Journal of Financial Econometrics.
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Emmanuel Djanga, Chao Zhang & Mihai Cucuringu. (2023) Cryptocurrency Volatility Forecasting Using Commonality in Intraday Volatility. SSRN Electronic Journal.
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Raanju R. Sundararajan & Wagner Barreto‐Souza. (2022) Student‐t stochastic volatility model with composite likelihood EM‐algorithm. Journal of Time Series Analysis 44:1, pages 125-147.
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Andres Algaba, Samuel Borms, Kris Boudt & Brecht Verbeken. (2023) Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence. International Journal of Forecasting 39:1, pages 266-278.
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Patrick Chang, Etienne Pienaar & Tim Gebbie. (2021) The Epps effect under alternative sampling schemes. Physica A: Statistical Mechanics and its Applications 583, pages 126329.
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Arianna Agosto. (2022) Multivariate Score-Driven Models for Count Time Series To Assess Financial Contagion. SSRN Electronic Journal.
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Xinquan Zhou, Guillaume Bagnarosa, Alexandre Gohin, Joost M. E. Pennings & Philippe Debie. (2022) Microstructure and High-Frequency Price Discovery in the Soybean Complex. SSRN Electronic Journal.
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Giuseppe Buccheri. (2022) Partial Information, Return Predictability and Identification of Linear Stochastic Differential Equations. SSRN Electronic Journal.
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Giuseppe Buccheri, Stefano Grassi & Giorgio Vocalelli. (2021) A Structural Model of Market Friction with Time-Varying Volatility. SSRN Electronic Journal.
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Yiwen Shen & Meiqi Shi. (2020) Index-based Investing and Intraday Stock Dynamics. SSRN Electronic Journal.
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Giuseppe Buccheri & Gael Mboussa Anga. (2020) Parametric Estimation of Large Realized Covariance Matrices: Revisiting the Method of Corsi et al. (2015). SSRN Electronic Journal.
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Stephen J. Taylor. (2014) The Distribution of Microstructure Noise for the S&P 500 Index. SSRN Electronic Journal.
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