Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Ole E. Barndorff-Nielsen; Peter Reinhard Hansen; Asger Lunde; Neil Shephard
| Year of publication: |
2011
|
|---|---|
| Authors: | Barndorff-Nielsen, Ole E. ; Hansen, Peter Reinhard ; Lunde, Asger ; Shephard, Neil G. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 162.2011, 2, p. 149-169
|
| Subject: | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis | Monte-Carlo-Simulation | Monte Carlo simulation |
| 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/10009270667