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Year of publication
Subject
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Covariation of assets 1 High-frequency data 1 Kalman filter 1 Market microstructure theory 1 Matrix process 1 Volatility estimation 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Cartea, Alvaro 1 Karyampas, Dimitrios 1
Institution
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Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1
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Business Economics Working Papers 1
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RePEc 1
Showing 1 - 1 of 1
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Volatility and covariation of financial assets: a high-frequency analysis
Cartea, Alvaro; Karyampas, Dimitrios - Departamento de Economía de la Empresa, Universidad … - 2009
Using high frequency data for the price dynamics of equities we measure the impact that market microstructure noise has on estimates of the: (i) volatility of returns; and (ii) variance-covariance matrix of n assets. We propose a Kalman-filter-based methodology that allows us to deconstruct...
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