Pages that link to "Item:Q2445693"

The following pages link to Modeling tick-by-tick realized correlations (Q2445693):

Displaying 7 items.

• Fractional integration versus level shifts: the case of realized asset correlations (Q379926) (← links)
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
• Managing risk with a realized copula parameter (Q1659106) (← links)
• Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084) (← links)
• Estimating dynamic copula dependence using intraday data (Q2687886) (← links)
• Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects (Q6090566) (← links)