Weighted least squares realized covariation estimation
Yifan Li, Ingmar Nolte, Michalis Vasios, Valeri Voev, Qi Xu
| Year of publication: |
2022
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|---|---|
| Authors: | Li, Yifan ; Nolte, Ingmar ; Vasios, Michalis ; Voev, Valeri ; Xu, Qi |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 137.2022, p. 1-21
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| Subject: | Market Microstructure Noise | Realized Volatility | Realized Covariation | Weighted Least Squares | Volatility Forecasting | Asset Allocation | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Varianzanalyse | Analysis of variance | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Kleinste-Quadrate-Methode | Least squares method | Kapitaleinkommen | Capital income | Noise Trading | Noise trading | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2022.106420 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013460187