A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Cheng Liu; Cheng Yong Tang
| Year of publication: |
2014
|
|---|---|
| Authors: | Liu, Cheng ; Tang, Cheng Yong |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 180.2014, 2, p. 217-232
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| Subject: | High frequency data | Integrated covariance matrix | Microstructure noises | Quasi-maximum likelihood | Korrelation | Correlation | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010433385