A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Year of publication: |
2014
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Authors: | Liu, Cheng ; Tang, Cheng Yong |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 180.2014, 2, p. 217-232
|
Subject: | High frequency data | Integrated covariance matrix | Microstructure noises | Quasi-maximum likelihood | Korrelation | Correlation | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Varianzanalyse | Analysis of variance |
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