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标题:High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
时间:2019-02-11 23:27:55
DOI:10.1198/jasa.2010.tm10163
作者:Yacine Aït-Sahalia;Jianqing Fan;Dacheng Xiu
出版源: 《Publications of the American Statistical Assoc... ,2010 ,105 (492) :1504-1517
摘要:This article proposes a consistent and efficient estimator of the high-frequency covariance (quadratic covariation) of two arbitrary assets, observed async...
大小:653 kb
页数:16 PAGES
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目录:
  • High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
    • Introduction
    • QMLE Review
    • Covariance/Correlation Estimation via the QMLE
      • Model Setup
      • Covariance/Correlation Estimator for Synchronized Data
      • Data Synchronization
      • Synchronization Comparison With the HY Estimator
    • Simulation Study
    • Empirical Estimation With Foreign Exchange Futures Prices
      • Data Description
      • Empirical Findings
      • Robustness Checks
    • Conclusions
    • Appendix
      • Proof of Theorem 2
      • Proof of Theorem 3
    • References

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