Jump robust daily covariance estimation by disentangling variance and correlation components
Year of publication: |
2012
|
---|---|
Authors: | Boudt, Kris ; Cornelissen, Jonathan ; Croux, Christophe |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 56.2012, 11, p. 2993-3005
|
Publisher: |
Elsevier |
Subject: | Epps effect | High-frequency data | Integrated covariance | Jumps | Non-synchronous trading | Realized covariance |
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