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1
Correlations across Asia-Pacific
bond
markets and the impact of capital flow measures
Chantapacdepong, Pornpinun
;
Shim, Ilhyock
-
2014
Persistent link: https://www.econbiz.de/10010495717
Saved in:
2
Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus
;
Reiß, Markus
-
2011
noise model with
correlation
and volatility processes being constant over small intervals. The asymptotic equivalence of the …
Persistent link: https://www.econbiz.de/10009388782
Saved in:
3
Estimating the quadratic covariation matrix from noisy observations : local method of moments and efficiency
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2013
-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under
correlation
…
Persistent link: https://www.econbiz.de/10009738265
Saved in:
4
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise : asymptotic distribution theory
Bibinger, Markus
-
2011
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...
Persistent link: https://www.econbiz.de/10009151649
Saved in:
5
Asymptotics of asynchronicity
Bibinger, Markus
-
2011
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...
Persistent link: https://www.econbiz.de/10009151650
Saved in:
6
Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus
;
Reiß, Markus
-
2011
noise model with
correlation
and volatility processes being constant over small intervals. The asymptotic equivalence of the …
Persistent link: https://www.econbiz.de/10010281562
Saved in:
7
Asymptotics of asynchronicity
Bibinger, Markus
-
2011
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...
Persistent link: https://www.econbiz.de/10010281581
Saved in:
8
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus
-
2011
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...
Persistent link: https://www.econbiz.de/10010281599
Saved in:
9
Gold, oil, and stocks
Barunik, Jozef
;
Kočenda, Evžen
;
Vácha, Lukáš
-
2014
in specific
correlation
dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10010407524
Saved in:
10
Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo
;
Grasso, Margherita
;
Lanza, Alessandro
-
2004
specifiy the conditional variances of VECM residuals with the Constant Conditional
Correlation
(CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional
Correlation
(DCC) multivariate GARCH model of Engle (2002). The within …
Persistent link: https://www.econbiz.de/10011603089
Saved in:
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