Department of Economics and Business Economics

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Research output: Research - peer-reviewBook chapter


  • Peter Reinhard Hansen
    Peter Reinhard HansenEuropean University Institute, Firenze
  • Guillaume Horel
    Guillaume Horel
  • Asger Lunde
  • Ilya Archakov
    Ilya ArchakovEuropean University Institute, Firenze
Original languageEnglish
Title of host publicationThe Fascination of Probability, Statistics and their Applications : In Honour of Ole E. Barndorff-Nielsen
EditorsMark Podolskij, Robert Stelzer, Steen Thorbjørnsen, D. Almut E. Veraart
Number of pages34
Place of publicationCham
Publication year2016
ISBN (print)978-3-319-25824-9
ISBN (Electronic)978-3-319-25826-3
StatePublished - 2016

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