Similar Search Results

A closer look at the Epps effect

Renò, Roberto - In: International journal of theoretical and applied finance 6 (2003) 1, pp. 87-102

Persistent link: https://www.econbiz.de/10001769120

A closer look at the Epps effect

Renò, Roberto - 2001

Persistent link: https://www.econbiz.de/10001677860

A Closed-Formula Characterization of the Epps Effect

Buccheri, Giuseppe - 2018

In this study we provide an analytical characterization of the impact of zero returns on the popular realized covariance estimator of Barndorff-Nielsen and Shephard (2004). In our framework, efficient price processes evolve as a semimartingale with some likelihood of repeated prices. We show...

Persistent link: https://www.econbiz.de/10012910542

A closed-form formula characterization of the Epps effect

Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; … - In: Quantitative finance 20 (2020) 2, pp. 243-254

Persistent link: https://www.econbiz.de/10012194864

Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of econometrics 160 (2011) 1, pp. 145-159

Persistent link: https://www.econbiz.de/10009242529

Realized volatility forecasting in the presence of time-varying noise

Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345

Persistent link: https://www.econbiz.de/10009785979

Using high-frequency data in dynamic portfolio choice

Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua - In: Econometric reviews 27 (2008) 1/3, pp. 163-198

Persistent link: https://www.econbiz.de/10003761222