On covariance estimation of non-synchronously observed diffusion processes (Q1781192): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.3150/bj/1116340299 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2094859553 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 22:02, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On covariance estimation of non-synchronously observed diffusion processes |
scientific article |
Statements
On covariance estimation of non-synchronously observed diffusion processes (English)
0 references
23 June 2005
0 references
Brownian motion
0 references
Poisson sampling
0 references
correlation estimators
0 references
diffusions
0 references
discrete-time observations
0 references
high-frequency data
0 references
mathematical finance
0 references
non-synchronous trading
0 references
quadratic variation
0 references
realized volatility
0 references
