Smoothing it out : empirical and simulation results for disentangled realized covariances
Year of publication: |
2017
|
---|---|
Authors: | Vander Elst, Harry ; Veredas, David |
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. 15.2017, 1, p. 106-138
|
Subject: | realized measures | noise | jumps | synchronization | Simulation | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis |
-
Smoothing it out : empirical and simulation results for disentangled realized covariances
Vander Elst, Harry, (2015)
-
Disentangled jump-robust realized covariances and correlations with non-synchronous prices
Vander Elst, Harry, (2014)
-
Hounyo, Ulrich, (2017)
- More ...
-
Smoothing it out : empirical and simulation results for disentangled realized covariances
Vander Elst, Harry, (2015)
-
Disentangled jump-robust realized covariances and correlations with non-synchronous prices
Vander Elst, Harry, (2014)
-
Smoothing it Out : Empirical and Simulation Results for Disentangled Realized Covariances
Vander Elst, Harry, (2015)
- More ...