A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
Shin S. Ikeda
| Year of publication: |
July 2016
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|---|---|
| Authors: | Ikeda, Shin S. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 193.2016, 1, p. 203-214
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| Subject: | High frequency data | Covariation | Microstructure | Endogenous durations | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Korrelation | Correlation | Börsenkurs | Share price | Stichprobenerhebung | Sampling | Dauer | Duration | Statistische Bestandsanalyse | Duration analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.02.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704791