An econometric analysis of nonsynchronous trading
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Publication:749146
DOI10.1016/0304-4076(90)90098-EzbMath0712.62102MaRDI QIDQ749146
Andrew W. Lo, A. Craig MacKinlay
Publication date: 1990
Published in: Journal of Econometrics (Search for Journal in Brave)
random censoring; autocorrelations; stock returns; stock prices; portfolios; multiple time series; variances; nonsynchronous trading; asset returns; cross-autocorrelations; nonsynchronous asset prices; random walk hypothesis
62P20: Applications of statistics to economics
91B84: Economic time series analysis
91B24: Microeconomic theory (price theory and economic markets)
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Cites Work
- Note on the Correlation of First Differences of Averages in a Random Chain
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- Funds, Factors, and Diversification in Arbitrage Pricing Models
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