Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects.
- Published in:
- Journal of Financial Econometrics, 2012, v. 10, n. 4, p. 591, doi. 10.1093/jjfinec/nbs007
- By:
- Publication type:
- Article
Works matching IS 14798409 AND DT 2012 AND VI 10 AND IP 4
Results: 6
1
2
Editor's Introduction.
- Published in:
- Journal of Financial Econometrics, 2012, v. 10, n. 4, p. 589, doi. 10.1093/jjfinec/nbs017
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- Publication type:
- Article
3
Robust Two-Pass Cross-Sectional Regressions: A Minimum Distance Approach.
- Published in:
- Journal of Financial Econometrics, 2012, v. 10, n. 4, p. 669, doi. 10.1093/jjfinec/nbs006
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- Publication type:
- Article
4
Asymptotics of Realized Volatility with Non-Gaussian ARCH(∞) Microstructure Noise.
- Published in:
- Journal of Financial Econometrics, 2012, v. 10, n. 4, p. 617, doi. 10.1093/jjfinec/nbs005
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- Publication type:
- Article
5
Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities.
- Published in:
- Journal of Financial Econometrics, 2012, v. 10, n. 4, p. 637, doi. 10.1093/jjfinec/nbs003
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- Publication type:
- Article
6
Prospect Performance Evaluation: Making a Case for a Non-asymptotic UMPU Test.
- Published in:
- Journal of Financial Econometrics, 2012, v. 10, n. 4, p. 703, doi. 10.1093/jjfinec/nbr020
- By:
- Publication type:
- Article