Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Year of publication: |
November 2017
|
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Authors: | Shephard, Neil G. ; Xiu, Dacheng |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 201.2017, 1, p. 19-42
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Subject: | EM algorithm | Kalman filter | Market microstructure noise | Asynchronous data | Factor model | Portfolio allocation | Quasi-likelihood | Semimartingale | Marktmikrostruktur | Market microstructure | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Schätzung | Estimation | Börsenkurs | Share price | Zustandsraummodell | State space model | CAPM | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis |
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