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Smoothing it out : empirical and simulation results for disentangled realized covariances
Vander Elst, Harry; Veredas, David - 2015
Persistent link: https://www.econbiz.de/10011289133
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Disentangled jump-robust realized covariances and correlations with non-synchronous prices
Vander Elst, Harry; Veredas, David - 2014
Persistent link: https://www.econbiz.de/10010418993
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Smoothing it out : empirical and simulation results for disentangled realized covariances
Vander Elst, Harry; Veredas, David - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 106-138
Persistent link: https://www.econbiz.de/10011658742
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Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices
Veredas, David; Vander Elst, Harry-Paul - European Centre for Advanced Research in Economics and … - 2014
Persistent link: https://www.econbiz.de/10010890190
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Disentangled jump-robust realized covariances and correlations with non-synchronous prices
Elst, Harry Vander; Veredas, David - Departamento de Estadistica, Universidad Carlos III de … - 2014
and in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that …
Persistent link: https://www.econbiz.de/10010894453