An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models
Year of publication: |
2008
|
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Authors: | Kinnebrock, Silja ; Podolskij, Mark |
Institutions: | Finance Research Centre, Oxford University |
Subject: | Central Limit Theorem | Diffusion Models | Market Microstructure Noise | Non-synchronous Trading | High-Frequency Data | Semimartingale Theory |
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