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Einführung in die Statistik der Finanzmärkte

Franke, Jürgen; Härdle, Wolfgang; Hafner, Christian M. - 2001

Persistent link: https://www.econbiz.de/10001599509

A test for independence based on the correlation dimension

Brock, William A.; Scheinkman, José Alexandre; … - In: Econometric reviews 15 (1996) 3, pp. 197-235

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Theory and applications of common features

Kozicki, Sharon - 1992

Persistent link: https://www.econbiz.de/10000917655

A nonparametric test for autoregressive conditional heteroscedasticity : a Markov-chain approach

Gregory, Allan W. - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 1, pp. 107-115

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A Note on a Statistical Hypothesis Testing for Removing Noise by the Random Matrix Theory, and Its Application to Co-Volatility Matrices

Morimoto, Takayuki - 2010

It is well known that the bias called market microstructure noise will arise, when estimating realized co-volatility matrix which is calculated as a sum of cross products of intraday high-frequency returns. An existing conventional technique for removing such a market microstructure noise is to...

Persistent link: https://www.econbiz.de/10013150378