A Markov chain estimator of multivariate volatility from high frequency data

Peter Reinhard Hansen, Guillaume Horel, Asger Lunde and Ilya Archakov

Year of publication:	2015
Authors:	Hansen, Peter Reinhard ; Horel, Guillaume ; Lunde, Asger ; Archakov, Ilya
Publisher:	Aarhus : School of Economics and Management
Subject:	Volatilität \| Volatility \| Markov-Kette \| Markov chain \| Theorie \| Theory \| ARCH-Modell \| ARCH model \| Multivariate Analyse \| Multivariate analysis \| Schätzung \| Estimation

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