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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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
scientific article |
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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