Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896)
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scientific article; zbMATH DE number 6616512
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| English | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
scientific article; zbMATH DE number 6616512 |
Statements
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (English)
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12 August 2016
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HAC estimator
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long run variance estimator
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market frictions
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quadratic variation
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realised variance
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0.8475807905197144
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0.8391668200492859
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0.8382660746574402
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0.8325954079627991
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