A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Year of publication: |
2021
|
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Authors: | Buccheri, Giuseppe ; Bormetti, Giacomo ; Corsi, Fulvio ; Lillo, Fabrizio |
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. 39.2021, 4, p. 920-936
|
Subject: | Asynchronicity | Dynamic dependencies | Intraday correlations | Microstructure noise | Korrelation | Correlation | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Noise Trading | Noise trading | Volatilität | Volatility | Schätzung | Estimation | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income |
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