Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706)
From MaRDI portal
scientific article; zbMATH DE number 6547687
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error |
scientific article; zbMATH DE number 6547687 |
Statements
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (English)
0 references
1 March 2016
0 references
quadratic covariation
0 references
market microstructure noise
0 references
asynchronous observations
0 references
Fourier realized kernel
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
