Estimation of integrated quadratic covariation with endogenous sampling times
Yoann Potiron, Per A. Mykland
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Potiron, Yoann ; Mykland, Per A. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 197.2017, 1, p. 20-41
|
| Subject: | Asymptotic bias | Asynchronous times | Endogenous model | Hayashi-Yoshida estimator | High-frequency data | Quadratic covariation | Time endogeneity | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling | Systematischer Fehler | Bias | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Zeit | Time | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zeitökonomie | Economy of time |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.10.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011818337