A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Stefano Peluso; Fulvio Corsi; Antonietta Mira
| Year of publication: |
2015
|
|---|---|
| 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 | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Varianzanalyse | Analysis of variance | Marktmikrostruktur | Market microstructure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011339256