Covariance measurement in the presence of non-synchronous trading and market microstructure noise

DOI10.1016/j.jeconom.2010.03.015zbMath1441.62710MaRDI QIDQ737261

Jim E. Griffin, Roel C. A. Oomen

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.2010.03.015

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

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Cites Work

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