activity
20172026
most citedInference on the maximal rank of time-varying covariance matrices using high-frequency data

1 citations · 1 across the 2 of their papers we have counts for

collaborators

3 papers

math.ST2026

Rank tests for time-varying covariance matrices observed under noise

Markus Reiß, Lars Winkelmann

We consider a -dimensional continuous martingale with quadratic variation matrix and develop tests for the rank of its spot covaria…

math.ST2021★ 1 cited

Inference on the maximal rank of time-varying covariance matrices using high-frequency data

Markus Reiß, Lars Winkelmann

We study the rank of the instantaneous or spot covariance matrix of a multidimensional continuous semi-martingale . Given high-frequency observations , $i=0,…

math.ST2017

Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book

Markus Bibinger, Christopher Neely, Lars Winkelmann

An extensive empirical literature documents a generally negative correlation, named the "leverage effect," between asset returns and changes of volatility. It is more challenging t…