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Search: subject:"integrated covolatility matrix"
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adaptive estimation
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asymptotic equivalence
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asynchronous observations
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integrated covolatility matrix
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microstructure noise
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quadratic covariation
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semiparametric efficiency
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spectral estimation
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Bibinger, Markus
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Hautsch, Nikolaus
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Malec, Peter
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Reiss, Markus
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2013
An efficient estimator is constructed for the quadratic covariation or
integrated
covolatility
matrix
of a multivariate …
Persistent link: https://www.econbiz.de/10010318777
Saved in:
2
Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2013
An efficient estimator is constructed for the quadratic covariation or
integrated
covolatility
matrix
of a multivariate …
Persistent link: https://www.econbiz.de/10010640724
Saved in:
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