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type:"article"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Monte Carlo simulation"
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
2
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
3
Markov chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models
Hahn, Markus
;
Frühwirth-Schnatter, Sylvia
;
Sass, Jörn
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
1
,
pp. 88-121
Persistent link: https://www.econbiz.de/10003997336
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