Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Fulvio Corsi and Francesco Audrino
| Year of publication: |
2008
|
|---|---|
| Authors: | Corsi, Fulvio ; Audrino, Francesco |
| Publisher: |
St. Gallen : Dep. of Economics, Univ. |
| Subject: | Wirtschaftsstatistik | Kovarianz <Stochastik> | Zeitreihe |
| Extent: | 28, 12 S. graph. Darst. |
|---|---|
| Series: | Discussion paper / University of St. Gallen, Department of Economics. - St. Gallen : Forschungsgemeinschaft für Nationalökonomie an der Hochsch. St. Gallen. - Vol. 2008,04 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Classification: | Methoden und Techniken der Volkswirtschaft |
| Source: |
Persistent link: https://www.econbiz.de/10004478795