Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Ole E. Barndorff-Nielsen; Peter Reinhard Hansen; Asger Lunde; Neil Shephard
Year of publication: |
2011
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Authors: | Barndorff-Nielsen, Ole E. ; Hansen, Peter Reinhard ; Lunde, Asger ; Shephard, Neil G. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 162.2011, 2, p. 149-169
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Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis |
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