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Microstructure noise
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Buccheri, Giuseppe
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Corsi, Fulvio
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Lillo, Fabrizio
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Peluso, Stefano
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
2
High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Peluso, Stefano
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 605-621
Persistent link: https://www.econbiz.de/10012588002
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