Estimating covariation: Epps effect, microstructure noise

DOI10.1016/j.jeconom.2010.03.012zbMath1441.62911MaRDI 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

62P20: Applications of statistics to economics

62P05: Applications of statistics to actuarial sciences and financial mathematics

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