Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Neil Shephard, Dacheng Xiu
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.04.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011917413