Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Kris Boudt, Sébastien Laurent, Asger Lunde, Rogier Quaedvlieg, Orimar Sauri
| Year of publication: |
February 2017
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|---|---|
| Authors: | Boudt, Kris ; Laurent, Sébastien ; Lunde, Asger ; Quaedvlieg, Rogier ; Sauri, Orimar |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 196.2017, 2, p. 347-367
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| Subject: | Cholesky decomposition | Integrated covariance | Non-synchronous trading | Positive semidefinite | Realized covariance | Korrelation | Correlation | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.09.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011818308