Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Fulvio Corsi, Stefano Peluso and Francesco Audrino
| Year of publication: |
2015
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|---|---|
| Authors: | Corsi, Fulvio ; Peluso, Stefano ; Audrino, Francesco |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 30.2015, 3, p. 377-397
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| Subject: | Elektronisches Handelssystem | Electronic trading | Marktmikrostruktur | Market microstructure | Algorithmus | Algorithm | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Zustandsraummodell | State space model | Theorie | Theory |
| 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://www.econbiz.de/10011327583