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Latest revision as of 09:05, 12 July 2024

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Estimating covariation: Epps effect, microstructure noise
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    Estimating covariation: Epps effect, microstructure noise (English)
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    10 August 2016
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    bias-variance tradeoff
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    Epps effect
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    high frequency data
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    measurement error
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    market microstructure
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    martingale
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    nonsynchronous trading
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    realized covariance
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    realized variance
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    two scales estimation
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