High Frequency Covariance Estimates With Noisy And Asynchronous Financial Data..pdf
HighFreqVol.pdf
Description
This article proposes a consistent and efficient estimator of high-frequency covariance of two assets observed asynchronously with market microstructure noise,...
Technical Information
- File Format: PDF
- File Size: 416 KB
- Pages: 14
- Language: EN
- Author: Yacine Aït-Sahalia, Jianqing Fan, Dacheng Xiu
- Total Downloads: 51
- Last Updated: 2 months ago
Document Overview
This PDF document about High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data. provides comprehensive information and guidance. Whether you're a beginner or advanced user, this resource offers valuable insights into High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data..
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