Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

DOI10.1111/j.1468-0262.2004.00515.xzbMath1141.91634OpenAlexW2155804346MaRDI QIDQ5475035

Neil Shephard, Ole Eiler Barndorff-Nielsen

Publication date: 16 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00515.x

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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