Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
Sujin Park, Seok Young Hong, Oliver Linton
| Year of publication: |
April 2016
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| Authors: | Park, Sujin ; Hong, Seok Young ; Linton, Oliver |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 191.2016, 2, p. 325-347
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| Subject: | Quadratic covariation | Market microstructure noise | Asynchronous observations | Fourier Realized Kernel | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Korrelation | Correlation | Statistischer Fehler | Statistical error | Korruption | Corruption | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Noise Trading | Noise trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.12.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011610563