A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320): Difference between revisions
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Revision as of 23:55, 4 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous |
scientific article |
Statements
A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (English)
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18 May 2016
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high frequency data
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covariation
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microstructure
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endogenous durations
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