Unbiased covariance estimation with interpolated data
Year of publication: |
2007-04
|
---|---|
Authors: | Kanatani, Taro ; Reno', Roberto |
Institutions: | Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin" |
Subject: | Realized covariance | Previous tick interpolation | Epps effect | Nonsynchronous trading | Bias-correction |
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