Volatility and covariation of financial assets: a high-frequency analysis
Year of publication: |
2009-12
|
---|---|
Authors: | Cartea, Alvaro ; Karyampas, Dimitrios |
Institutions: | Departamento de Economía de la Empresa, Universidad Carlos III de Madrid |
Subject: | Volatility estimation | High-frequency data | Market microstructure theory | Covariation of assets | Matrix process | Kalman filter |
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