ETF basket-adjusted covariance estimation
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Publication:6108294
DOI10.1016/j.jeconom.2022.10.002MaRDI QIDQ6108294
Kirill Dragun, Leopoldo Catania, Steven Vanduffel, Orimar Sauri
Publication date: 29 June 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
high-frequency dataindex trackingasynchronicityrealized covariancesETFlocalized Hayashi-Yoshidastock-ETF covariation
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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