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  • Search: subject:"quadratic covariation"
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Year of publication
Subject
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quadratic covariation 12 Korrelation 9 Correlation 8 Quadratic covariation 6 Schätztheorie 6 Estimation theory 5 Volatility 5 Volatilität 5 Analysis of variance 4 Market microstructure 4 Market microstructure noise 4 Marktmikrostruktur 4 Varianzanalyse 4 asynchronous observations 4 co-jumps 4 microstructure noise 4 non-synchronous observations 4 spectral estimation 4 Capital income 3 Hayashi-Yoshida estimator 3 Kapitaleinkommen 3 Noise Trading 3 Noise trading 3 Theorie 3 Bias 2 Brownian motion 2 Dirichlet spaces 2 Financial crisis 2 Financial market 2 Finanzkrise 2 Finanzmarkt 2 Ito's formula 2 Systematischer Fehler 2 Theory 2 Time series analysis 2 Zeitreihenanalyse 2 adaptive estimation 2 asymptotic distribution 2 asymptotic equivalence 2 covolatility estimation 2
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Online availability
All
Free 13 Undetermined 5
Type of publication
All
Book / Working Paper 12 Article 7
Type of publication (narrower categories)
All
Article in journal 7 Aufsatz in Zeitschrift 7 Working Paper 6 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
All
English 15 Undetermined 4
Author
All
Bibinger, Markus 8 Varneskov, Rasmus Tangsgaard 3 Föllmer, Hans 2 Hautsch, Nikolaus 2 Linton, Oliver 2 Malec, Peter 2 Park, Sujin 2 Protter, Philip E. 2 Reiss, Markus 2 Vetter, Mathias 2 Winkelmann, Lars 2 Aït-Sahalia, Yacine 1 Christensen, Bent Jesper 1 Cont, Rama 1 Holý, Vladimír 1 Hong, Seok Young 1 Mykland, Per A. 1 Potiron, Yoann 1 Tomanová, Petra 1 Wagalath, Lakshithe 1 Xiu, Dacheng 1
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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 Journal of econometrics 3 CREATES Research Papers 1 Computational economics 1 Discussion paper / LSE Financial Markets Group 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of financial econometrics 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1
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Source
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ECONIS (ZBW) 8 RePEc 6 EconStor 5
Showing 1 - 10 of 19
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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
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Dynamic global currency hedging
Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - In: Journal of financial econometrics 19 (2021) 1, pp. 97-127
Persistent link: https://www.econbiz.de/10012504315
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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:
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:
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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:
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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:
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Estimation of integrated quadratic covariation with endogenous sampling times
Potiron, Yoann; Mykland, Per A. - In: Journal of econometrics 197 (2017) 1, pp. 20-41
Persistent link: https://www.econbiz.de/10011818337
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