The following pages link to A CLOSER LOOK AT THE EPPS EFFECT (Q5696843):
Displaying 17 items.
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- No arbitrage and lead-lag relationships (Q2273697) (← links)
- The impact of asynchronous trading on Epps effect on Warsaw stock exchange (Q2401313) (← links)
- Estimation of quarticity with high-frequency data (Q2873034) (← links)
- A Markov Chain Estimator of Multivariate Volatility from High Frequency Data (Q2956061) (← links)
- STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (Q3225026) (← links)
- The Epps effect revisited (Q3650961) (← links)
- (Q5011497) (← links)
- High-dimensional realized covariance estimation: a parametric approach (Q5051983) (← links)
- A closed-form formula characterization of the Epps effect (Q5121493) (← links)
- Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms (Q5146684) (← links)
- Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis (Q5312584) (← links)
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952) (← links)
- Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
- Copula estimation for nonsynchronous financial data (Q6108882) (← links)
