Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902)
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scientific article; zbMATH DE number 6782049
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| English | Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading |
scientific article; zbMATH DE number 6782049 |
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Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (English)
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28 September 2017
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EM algorithm
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Kalman filter
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market microstructure noise
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asynchronous data
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factor model
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portfolio allocation
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quasi-likelihood
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semimartingale
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0.8475807905197144
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0.834337592124939
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0.8330521583557129
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0.8305602073669434
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