EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"quadratic covariation"
Narrow search

Narrow search

Year of publication
Subject
All
quadratic covariation 10 asynchronous observations 4 co-jumps 4 microstructure noise 4 non-synchronous observations 4 spectral estimation 4 Korrelation 3 Schätztheorie 3 Analysis of variance 2 Brownian motion 2 Correlation 2 Dirichlet spaces 2 Estimation theory 2 Hayashi-Yoshida estimator 2 Ito's formula 2 Market microstructure 2 Market microstructure noise 2 Marktmikrostruktur 2 Quadratic covariation 2 Varianzanalyse 2 adaptive estimation 2 asymptotic distribution 2 asymptotic equivalence 2 covolatility estimation 2 integrated covolatility matrix 2 jump detection 2 polar sets 2 semiparametric efficiency 2 stable limit theorem 2 statistics of semimartingales 2 stochastic integrals 2 truncation 2 Algorithm 1 Algorithmus 1 Bias Reduction 1 Estimation 1 Fourier transform 1 Long run variance estimator 1 Market Microstructure Noise 1 Noise Trading 1
more ... less ...
Online availability
All
Free 13
Type of publication
All
Book / Working Paper 12 Article 1
Type of publication (narrower categories)
All
Working Paper 6 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
All
English 9 Undetermined 4
Author
All
Bibinger, Markus 8 Föllmer, Hans 2 Hautsch, Nikolaus 2 Malec, Peter 2 Protter, Philip E. 2 Reiss, Markus 2 Vetter, Mathias 2 Winkelmann, Lars 2 Holý, Vladimír 1 Linton, Oliver 1 Park, Sujin 1 Tomanová, Petra 1 Varneskov, Rasmus Tangsgaard 1
more ... less ...
Institution
All
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 4 School of Economics and Management, University of Aarhus 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1
Published in...
All
SFB 649 Discussion Paper 4 SFB 649 Discussion Papers 4 CREATES Research Papers 1 Computational economics 1 Discussion paper / LSE Financial Markets Group 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1
more ... less ...
Source
All
RePEc 6 EconStor 5 ECONIS (ZBW) 2
Showing 1 - 10 of 13
Cover Image
Streaming approach to quadratic covariation estimation using financial ultra-high-frequency data
Holý, Vladimír; Tomanová, Petra - In: Computational economics 62 (2023) 1, pp. 463-485
Persistent link: https://www.econbiz.de/10014327571
Saved in:
Cover Image
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:
Cover Image
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Bibinger, Markus; Vetter, Mathias - 2013
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are …
Persistent link: https://www.econbiz.de/10010318785
Saved in:
Cover Image
Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus; Winkelmann, Lars - 2013
observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is modeled by an Itˆo …-jump and continuous part in quadratic covariation. Our estimation procedure implicitly renders spot (co-)variance estimators …
Persistent link: https://www.econbiz.de/10010330968
Saved in:
Cover Image
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:
Cover Image
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Bibinger, Markus; Vetter, Mathias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are …
Persistent link: https://www.econbiz.de/10010662687
Saved in:
Cover Image
Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus; Winkelmann, Lars - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is modeled by an Itˆo …-jump and continuous part in quadratic covariation. Our estimation procedure implicitly renders spot (co-)variance estimators …
Persistent link: https://www.econbiz.de/10011277288
Saved in:
Cover Image
Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise
Park, Sujin; Linton, Oliver - 2012
Persistent link: https://www.econbiz.de/10009552168
Saved in:
Cover Image
Asymptotics of asynchronicity
Bibinger, Markus - 2011
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete …
Persistent link: https://www.econbiz.de/10010281581
Saved in:
Cover Image
Asymptotics of Asynchronicity
Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete …
Persistent link: https://www.econbiz.de/10009644467
Saved in:
  • 1
  • 2
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...