Covariance measurement in the presence of non-synchronous trading and market microstructure noise
From MaRDI portal
Publication:737261
DOI10.1016/j.jeconom.2010.03.015zbMath1441.62710MaRDI QIDQ737261
Jim E. Griffin, Roel C. A. Oomen
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.015
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
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