2 papers
q-fin.ST2023
Study of Stylized Facts in Stock Market Data
Vaibhav Sherkar, Rituparna Sen
A property of data which is common across a wide range of instruments, markets and time periods is known as stylized empirical fact in the financial statistics literature. This pap…
q-fin.ST2022
Limiting Spectral Distribution of High-dimensional Hayashi-Yoshida Estimator of Integrated Covariance Matrix
Arnab Chakrabarti, Rituparna Sen
In this paper, the estimation of the Integrated Covariance matrix from high-frequency data, for high dimensional stock price process, is considered. The Hayashi-Yoshida covolatilit…