An econometric analysis of nonsynchronous trading
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Publication:749146
DOI10.1016/0304-4076(90)90098-EzbMath0712.62102OpenAlexW3123102284MaRDI QIDQ749146
A. Craig MacKinlay, Andrew W. Lo
Publication date: 1990
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(90)90098-e
random censoringautocorrelationsstock returnsstock pricesportfoliosmultiple time seriesvariancesnonsynchronous tradingasset returnscross-autocorrelationsnonsynchronous asset pricesrandom walk hypothesis
Applications of statistics to economics (62P20) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)
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Cites Work
- Note on the Correlation of First Differences of Averages in a Random Chain
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Funds, Factors, and Diversification in Arbitrage Pricing Models
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
