Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
Year of publication: |
April 2016
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Authors: | Park, Sujin ; Hong, Seok Young ; Linton, Oliver |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 191.2016, 2, p. 325-347
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Subject: | Quadratic covariation | Market microstructure noise | Asynchronous observations | Fourier Realized Kernel | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Korrelation | Correlation | Statistischer Fehler | Statistical error |
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