Search Results - "Malec, Peter"

Estimating the Spot Covariation of Asset Prices-Statistical Theory and Empirical Evidence by Bibinger, Markus, Hautsch, Nikolaus, Malec, Peter, Reiss, Markus

“…We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semimartingale log asset price process, which is subject to noise…”
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ESTIMATING THE QUADRATIC COVARIATION MATRIX FROM NOISY OBSERVATIONS: LOCAL METHOD OF MOMENTS AND EFFICIENCY by Bibinger, Markus, Hautsch, Nikolaus, Malec, Peter, Reiss, Markus

“…An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy…”
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Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? by Hautsch, Nikolaus, Kyj, Lada M., Malec, Peter

“…This paper addresses the debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We construct global minimum variance…”
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Nonparametric kernel density estimation near the boundary by Malec, Peter, Schienle, Melanie

“…Standard fixed symmetric kernel-type density estimators are known to encounter problems for positive random variables with a large probability mass close to…”
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Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?: HF DATA AND HIGH-DIMENSIONAL PORTFOLIOS by Hautsch, Nikolaus, Kyj, Lada M., Malec, Peter

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Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes by Hautsch, N., Malec, P., Schienle, M.

“…We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical…”
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Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence by Bibinger, Markus, Hautsch, Nikolaus, Malec, Peter, Reiß, Markus

“…We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise…”
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Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency by Bibinger, Markus, Hautsch, Nikolaus, Malec, Peter, Reiß, Markus

“…Annals of Statistics 2014, Vol. 42, No. 4, 1312-1346 An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of…”
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