A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi, and Fabrizio Lillo
| 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
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| Subject: | Asynchronicity | Dynamic dependencies | Intraday correlations | Microstructure noise | Korrelation | Correlation | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Börsenkurs | Share price | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1739530 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012653203