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~subject:"Multivariate analysis"
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Multivariate analysis
Theorie
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93
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65
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65
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56
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Shephard, Neil G.
13
Sheppard, Kevin
8
Barndorff-Nielsen, Ole E.
7
Noureldin, Diaa
7
Hansen, Peter Reinhard
5
Lunde, Asger
5
Shephard, Neil
3
Xiu, Dacheng
3
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Department of Economics discussion paper series / University of Oxford
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1
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ECONIS (ZBW)
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Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2008
Persistent link: https://www.econbiz.de/10003807445
Saved in:
2
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2008
Persistent link: https://www.econbiz.de/10003818473
Saved in:
3
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2009
Persistent link: https://www.econbiz.de/10003854421
Saved in:
4
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 149-169
Persistent link: https://www.econbiz.de/10009270667
Saved in:
5
Multivariate Realised Kernels : Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2010
We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first estimator...
Persistent link: https://www.econbiz.de/10014216875
Saved in:
6
Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.
;
Xiu, Dacheng
-
2012
Persistent link: https://www.econbiz.de/10009531407
Saved in:
7
Apparent scaling
Barndorff-Nielsen, Ole E.
;
Prause, Karsten
- In:
Finance and stochastics
5
(
2001
)
1
,
pp. 103-113
Persistent link: https://www.econbiz.de/10001553054
Saved in:
8
Apparent scaling
Barndorff-Nielsen, Ole E.
;
Prause, Karsten
-
1999
Persistent link: https://www.econbiz.de/10001456583
Saved in:
9
Multivariate high-frequency-based volatility (HEAVY) models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2011
Persistent link: https://www.econbiz.de/10008842201
Saved in:
10
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2012
Persistent link: https://www.econbiz.de/10009531527
Saved in:
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