A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Year of publication: |
2015
|
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Authors: | Peluso, Stefano ; Corsi, Fulvio ; Mira, Antonietta |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 3, p. 665-697
|
Subject: | asynchronicity | data augmentation | Gibbs sampler | missing observations | realized covariance | Korrelation | Correlation | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Kapitaleinkommen | Capital income | Schätzung | Estimation | Marktmikrostruktur | Market microstructure | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Elektronisches Handelssystem | Electronic trading | Börsenkurs | Share price | Varianzanalyse | Analysis of variance |
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