Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence

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Cited In (3)

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance

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