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person:"Cespa, Giovanni"
~isPartOf:"CFS Working Paper Series"
~person:"Malec, Peter"
~subject:"intraday (co-)variation risk"
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intraday (co-)variation risk
local method of moments
2
smoothing
2
spot covariance
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Hirshleifer Effect
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Market Data Sales
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Price Discovery
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Cespa, Giovanni
Malec, Peter
Bibinger, Markus
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Hautsch, Nikolaus
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Reiss, Markus
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Center for Financial Studies
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Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
Center for Financial Studies
-
2014
estimator to estimate spot covariances, correlations and betas in normal but also extreme-
event
periods yields novel insights …
Persistent link: https://www.econbiz.de/10010958633
Saved in:
2
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2014
estimator to estimate spot covariances, correlations and betas in normal but also extreme-
event
periods yields novel insights …
Persistent link: https://www.econbiz.de/10010420341
Saved in:
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