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In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and cor...
I apply the method of planar diagrammatic expansion to solve the problem of finding the mean spectral density of the non-Hermitian time-lagged covariance estimator for a system of i.i.d. Gaussian ran...
We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for similarity of previous market co...
We consider the estimation of integrated covariance matrices of high dimensional diffusion processes by using high frequency data. We start by studying the most commonly used estimator, the realized ...
This article proposes a consistent and efficient estimator of the high-frequency covariance (quadratic covariation) of two arbitrary assets,observed asynchronously with market microstructure noise. Th...

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