Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices
Rasmus Tangsgaard Varneskov
| Year of publication: |
January 2016
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|---|---|
| Authors: | Varneskov, Rasmus Tangsgaard |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 1, p. 1-22
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| Subject: | Bias reduction | Market microstructure noise | Nonsynchronicity | Nonparametric estimation | Quadratic covariation | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | CAPM | Korrelation | Correlation | Noise Trading | Noise trading | Systematischer Fehler | Bias |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1005622 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691138