Estimating Covariation: Epps Effect, Microstructure Noise
Preprint
- 1 January 2006
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
No abstract availableKeywords
This publication has 23 references indexed in Scilit:
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility ModelsJournal of the Royal Statistical Society Series B: Statistical Methodology, 2002
- The Distribution of Realized Exchange Rate VolatilityJournal of the American Statistical Association, 2001
- INTRODUCTIONPublished by Elsevier ,2001
- A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuationJournal of Financial Economics, 2000
- Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated VarianceThe Review of Economics and Statistics, 1999
- Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate ForecastsInternational Economic Review, 1998
- Probability Approximations via the Poisson Clumping HeuristicPublished by Springer Nature ,1989
- Comovements in Stock Prices in the Very Short RunJournal of the American Statistical Association, 1979
- On Mixing and Stability of Limit TheoremsThe Annals of Probability, 1978
- Conditional Probability and ExpectationPublished by Elsevier ,1972