A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data : An Application to High-Frequency Covariance Dynamics
Year of publication: |
2020
|
---|---|
Authors: | Buccheri, Giuseppe |
Other Persons: | Bormetti, Giacomo (contributor) ; Corsi, Fulvio (contributor) ; Lillo, Fabrizio (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Schätzung | Estimation | Korrelation | Correlation | ARCH-Modell | ARCH model | Börsenkurs | Share price | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model |
Extent: | 1 Online-Ressource (31 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.2912438 [DOI] |
Classification: | c58 ; D53 - Financial Markets ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Hall, Anthony, (2023)
-
Trivedi, Jatin, (2021)
-
High-dimensional Realized Covariance Estimation : a Parametric Approach
Buccheri, Giuseppe, (2020)
- More ...
-
Comment on : Price Discovery in High Resolution
Buccheri, Giuseppe, (2019)
-
Buccheri, Giuseppe, (2021)
-
Comment on: price discovery in high resolution
Buccheri, Giuseppe, (2021)
- More ...