A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous

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Publication:284320

DOI10.1016/j.jeconom.2016.02.016zbMath1420.62444OpenAlexW2299184263MaRDI QIDQ284320

Shin S. Ikeda

Publication date: 18 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.016




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