Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084): Difference between revisions

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+W3122486238
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+IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
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+Tables of Expected Values of Order Statistics and Products of Order Statistics for Samples of Size Twenty and Less from the Normal Distribution
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+Estimating covariation: Epps effect, microstructure noise
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