Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. / Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark.

I: Journal of Econometrics, Bind 159, Nr. 1, 2010, s. 116-133.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

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@article{d6cc6df9ef314b529591bc047c421664,
title = "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data",
author = "Kim Christensen and Silja Kinnebrock and Mark Podolskij",
year = "2010",
doi = "10.1016/j.jeconom.2010.05.001",
language = "English",
volume = "159",
pages = "116--133",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

AU - Christensen, Kim

AU - Kinnebrock, Silja

AU - Podolskij, Mark

PY - 2010

Y1 - 2010

U2 - 10.1016/j.jeconom.2010.05.001

DO - 10.1016/j.jeconom.2010.05.001

M3 - Journal article

VL - 159

SP - 116

EP - 133

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -