Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Year of publication: |
2019
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Authors: | Bibinger, Markus ; Hautsch, Nikolaus ; Malec, Peter ; Reiß, Markus |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 37.2019, 3, p. 419-435
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Subject: | Intraday (co-)variation risk | Local method of moments | Smoothing | Spot covariance. | CAPM | Momentenmethode | Method of moments | Volatilität | Volatility | Korrelation | Correlation | Schätzung | Estimation | Börsenkurs | Share price | Schätztheorie | Estimation theory |
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