Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec, Markus Reiss
| Year of publication: |
2019
|
|---|---|
| Authors: | Bibinger, Markus ; Hautsch, Nikolaus ; Malec, Peter ; Reiß, Markus |
| 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. 37.2019, 3, p. 419-435
|
| Subject: | Intraday (co-)variation risk | Local method of moments | Smoothing | Spot covariance. | Korrelation | Correlation | CAPM | Momentenmethode | Method of moments | Volatilität | Volatility | Schätzung | Estimation | Schätztheorie | Estimation theory | Statistische Methodenlehre | Statistical theory | Börsenkurs | Share price | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2017.1356728 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012178185