Integrated covariance estimation using high-frequency data in the presence of noise
Year of publication: |
2007
|
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Authors: | Voev, Valeri ; Lunde, Asger |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 5.2007, 1, p. 68-104
|
Subject: | Korrelation | Correlation | Schätzung | Estimation | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Theorie | Theory |
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