An econometric analysis of nonsynchronous trading

DOI10.1016/0304-4076(90)90098-EzbMath0712.62102MaRDI QIDQ749146

Andrew W. Lo, A. Craig MacKinlay

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

random censoring; autocorrelations; stock returns; stock prices; portfolios; multiple time series; variances; nonsynchronous trading; asset returns; cross-autocorrelations; nonsynchronous asset prices; random walk hypothesis

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91B84: Economic time series analysis

91B24: Microeconomic theory (price theory and economic markets)

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Cites Work

• Note on the Correlation of First Differences of Averages in a Random Chain
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix