Range-based covariance estimation using high-frequency data : the realized co-range
Year of publication: |
2009
|
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Authors: | Bannouh, Karim ; Dijk, Dick van ; Martens, Martin |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 7.2009, 4, p. 341-372
|
Subject: | Korrelation | Correlation | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Marktmikrostruktur | Market microstructure | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory |
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