Estimating covariation: Epps effect, microstructure noise (Q737259)
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scientific article; zbMATH DE number 6610560
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| English | Estimating covariation: Epps effect, microstructure noise |
scientific article; zbMATH DE number 6610560 |
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Estimating covariation: Epps effect, microstructure noise (English)
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10 August 2016
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bias-variance tradeoff
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Epps effect
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high frequency data
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measurement error
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market microstructure
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martingale
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nonsynchronous trading
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realized covariance
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realized variance
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two scales estimation
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0.8590499758720398
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0.8490419983863831
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0.8392934799194336
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0.8258336782455444
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0.8252007961273193
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