Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902): Difference between revisions

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Latest revision as of 10:44, 14 July 2024

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Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
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    Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (English)
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    28 September 2017
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    EM algorithm
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    Kalman filter
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    market microstructure noise
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    asynchronous data
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    factor model
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    portfolio allocation
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    quasi-likelihood
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    semimartingale
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