Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
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Publication:6634872
DOI10.1080/07350015.2017.1356728zbMath1548.62545MaRDI QIDQ6634872
Markus Bibinger, Peter Malec, Markus Reiss, Nikolaus Hautsch
Publication date: 8 November 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
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Related Items (3)
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise ⋮ A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics ⋮ A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance
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