Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
Year of publication: |
2008-01
|
---|---|
Authors: | Corsi, Fulvio ; Audrino, Francesco |
Institutions: | School of Economics and Political Science, Universität St. Gallen |
Subject: | High frequency data | Realized covariance | Market microstructure | Bias correction |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 30 pages |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications |
Source: |
-
Realized Correlation Tick-by-Tick
Corsi, Fulvio, (2007)
-
Volatility forecasting: Downside risk, jumps and leverage effect
Audrino, Francesco, (2016)
-
Volatility forecasting : downside risk, jumps and leverage effect
Audrino, Francesco, (2016)
- More ...
-
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
Corsi, Fulvio, (2012)
-
Realized Correlation Tick-by-Tick
Corsi, Fulvio, (2007)
-
Audrino, Francesco, (2010)
- More ...