Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading |
scientific article |
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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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