Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Fulvio Corsi; Francesco Audrino
| Year of publication: |
2012
|
|---|---|
| Authors: | Corsi, Fulvio ; Audrino, Francesco |
| 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. 10.2012, 4, p. 591-616
|
| Subject: | Korrelation | Correlation | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | Rentenmarkt | Bond market | Systematischer Fehler | Bias |
| 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/10009671897