Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896): Difference between revisions
From MaRDI portal
Latest revision as of 10:03, 12 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
scientific article |
Statements
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (English)
0 references
12 August 2016
0 references
HAC estimator
0 references
long run variance estimator
0 references
market frictions
0 references
quadratic variation
0 references
realised variance
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
