Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices
| Year of publication: |
2014-08
|
|---|---|
| Authors: | Veredas, David ; Vander Elst, Harry-Paul |
| Institutions: | European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management |
| Subject: | realized measures | noise | jumps | synchronization |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Published by: The text is part of a series ECARES Working Papers Number ECARES 2014-35 34 pages long |
| Classification: | C50 - Econometric Modeling. General |
| Source: |
Persistent link: https://www.econbiz.de/10010890190