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Search: subject:"local method of moments"
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intraday (co-)variation risk
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local method of moments
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smoothing
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spot covariance
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Method of moments
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Momentenmethode
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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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Center for Financial Studies
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2014
average of block-wise parametric spectral covariance estimates. The latter originate from a
local
method
of
moments
(LMM …
Persistent link: https://www.econbiz.de/10010420341
Saved in:
2
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2014
average of block-wise parametric spectral covariance estimates. The latter originate from a
local
method
of
moments
(LMM …
Persistent link: https://www.econbiz.de/10010427038
Saved in:
3
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
Center for Financial Studies
-
2014
average of block-wise parametric spectral covariance estimates. The latter originate from a
local
method
of
moments
(LMM …
Persistent link: https://www.econbiz.de/10010958633
Saved in:
4
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
Bibinger, Markus
;
Reiss, Markus
;
Hautsch, Nikolaus
; …
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2014
average of block-wise parametric spectral covariance estimates. The latter originate from a
local
method
of
moments
(LMM …
Persistent link: https://www.econbiz.de/10011277282
Saved in:
5
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2014
average of block-wise parametric spectral covariance estimates. The latter originate from a
local
method
of
moments
(LMM …
Persistent link: https://www.econbiz.de/10010411945
Saved in:
6
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2014
average of block-wise parametric spectral covariance estimates. The latter originate from a
local
method
of
moments
(LMM …
Persistent link: https://www.econbiz.de/10010412428
Saved in:
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