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
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.jeconom.2010.07.009 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3123224097 / rank | |||
Normal rank | |||
Revision as of 23:02, 19 March 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
