Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706)
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scientific article; zbMATH DE number 6547687
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| English | Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error |
scientific article; zbMATH DE number 6547687 |
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Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (English)
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1 March 2016
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quadratic covariation
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market microstructure noise
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asynchronous observations
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Fourier realized kernel
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0.8317744731903076
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0.8311318755149841
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0.8124526143074036
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0.8069907426834106
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0.7980273365974426
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