A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320)
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scientific article; zbMATH DE number 6581455
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| English | A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous |
scientific article; zbMATH DE number 6581455 |
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A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (English)
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18 May 2016
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high frequency data
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covariation
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microstructure
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endogenous durations
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0.8360411
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0.82491016
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0.8198582
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0.81406426
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0.8112372
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