Estimating covariation: Epps effect, microstructure noise
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Publication:737259
DOI10.1016/J.JECONOM.2010.03.012zbMATH Open1441.62911OpenAlexW3124514199MaRDI QIDQ737259FDOQ737259
Authors: Lan Zhang 
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
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measurement errormartingalemarket microstructurehigh frequency datarealized variancebias-variance tradeoffrealized covarianceEpps effectnonsynchronous tradingtwo scales estimation
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Jumps and betas: a new framework for disentangling and estimating systematic risks
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