A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
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Publication:284320
DOI10.1016/j.jeconom.2016.02.016zbMath1420.62444OpenAlexW2299184263MaRDI QIDQ284320
Publication date: 18 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.016
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (7)
Inference for time-varying lead-lag relationships from ultra-high-frequency data ⋮ A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous ⋮ Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas ⋮ Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data ⋮ Estimating the integrated volatility with tick observations ⋮ Efficient and positive semidefinite pre-averaging realized covariance estimator ⋮ Inference from high-frequency data: a subsampling approach
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