A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Year of publication: |
2021
|
---|---|
Authors: | Buccheri, Giuseppe ; Bormetti, Giacomo ; Corsi, Fulvio ; Lillo, Fabrizio |
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 |
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