Department of Economics and Business Economics

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

Standard

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. / Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger; Archakov, Ilya.

The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. ed. / Mark Podolskij; Robert Stelzer; Steen Thorbjørnsen; D. Almut E. Veraart. Cham : Springer, 2016. p. 361-394.

Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

Harvard

Hansen, PR, Horel, G, Lunde, A & Archakov, I 2016, A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. in M Podolskij, R Stelzer, S Thorbjørnsen & DAE Veraart (eds), The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. Springer, Cham, pp. 361-394. https://doi.org/10.1007/978-3-319-25826-3_17

APA

Hansen, P. R., Horel, G., Lunde, A., & Archakov, I. (2016). A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. In M. Podolskij, R. Stelzer, S. Thorbjørnsen, & D. A. E. Veraart (Eds.), The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen (pp. 361-394). Springer. https://doi.org/10.1007/978-3-319-25826-3_17

CBE

Hansen PR, Horel G, Lunde A, Archakov I. 2016. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. Podolskij M, Stelzer R, Thorbjørnsen S, Veraart DAE, editors. In The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. Cham: Springer. pp. 361-394. https://doi.org/10.1007/978-3-319-25826-3_17

MLA

Hansen, Peter Reinhard et al. "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data"., Podolskij, Mark and Stelzer, Robert Thorbjørnsen, Steen Veraart, D. Almut E. (editors). The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. Cham: Springer. 2016, 361-394. https://doi.org/10.1007/978-3-319-25826-3_17

Vancouver

Hansen PR, Horel G, Lunde A, Archakov I. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. In Podolskij M, Stelzer R, Thorbjørnsen S, Veraart DAE, editors, The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. Cham: Springer. 2016. p. 361-394 https://doi.org/10.1007/978-3-319-25826-3_17

Author

Hansen, Peter Reinhard ; Horel, Guillaume ; Lunde, Asger ; Archakov, Ilya. / A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. editor / Mark Podolskij ; Robert Stelzer ; Steen Thorbjørnsen ; D. Almut E. Veraart. Cham : Springer, 2016. pp. 361-394

Bibtex

@inbook{ba8900a56ff849ed975d2877ba9c7f13,
title = "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data",
author = "Hansen, {Peter Reinhard} and Guillaume Horel and Asger Lunde and Ilya Archakov",
year = "2016",
doi = "10.1007/978-3-319-25826-3_17",
language = "English",
isbn = "978-3-319-25824-9",
pages = "361--394",
editor = "Mark Podolskij and Robert Stelzer and Steen Thorbj{\o}rnsen and Veraart, {D. Almut E.}",
booktitle = "The Fascination of Probability, Statistics and their Applications",
publisher = "Springer",

}

RIS

TY - CHAP

T1 - A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

AU - Hansen, Peter Reinhard

AU - Horel, Guillaume

AU - Lunde, Asger

AU - Archakov, Ilya

PY - 2016

Y1 - 2016

U2 - 10.1007/978-3-319-25826-3_17

DO - 10.1007/978-3-319-25826-3_17

M3 - Book chapter

SN - 978-3-319-25824-9

SP - 361

EP - 394

BT - The Fascination of Probability, Statistics and their Applications

A2 - Podolskij, Mark

A2 - Stelzer, Robert

A2 - Thorbjørnsen, Steen

A2 - Veraart, D. Almut E.

PB - Springer

CY - Cham

ER -