Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
Year of publication: |
2001-11-01
|
---|---|
Authors: | Barndorff-Nielsen, Ole E. ; Shephard, Neil |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | Power variation | Realised correlation | Realised covolatility | Realised regression | Realised variance | Semimartingales | Covolatility |
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