Estimating covariation: Epps effect, microstructure noise

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Publication:737259

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DOI10.1016/j.jeconom.2010.03.012zbMath1441.62911OpenAlexW3124514199MaRDI QIDQ737259

Publication date: 10 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.012

zbMATH Keywords

martingale measurement error high frequency data market microstructure realized variance bias-variance tradeoff realized covariance Epps effect nonsynchronous trading two scales estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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