Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps
Yuta Koike
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Koike, Yuta |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 32.2016, 3, p. 533-611
|
| Subject: | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0266466614000954 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011606815