Covariance estimation using high-frequency data: Sensitivities of estimation methods
Erik Haugom; Gudbrand Lien; Steinar Veka; Sjur Westgaard
| Year of publication: |
2014
|
|---|---|
| Authors: | Haugom, Erik ; Lien, Gudbrand ; Veka, Steinar ; Westgaard, Sjur |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 43.2014, p. 416-425
|
| Subject: | Realized correlation | High-frequency data | ICE crude oil | Gasoil | Gas futures | Korrelation | Correlation | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | Schätzung | Estimation | Marktmikrostruktur | Market microstructure | Erdöl | Petroleum |
| 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://ebvufind01.dmz1.zbw.eu/10010503037