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Estimation of integrated quadratic covariation with endogenous sampling times · Study

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ArticleEstimation of integrated quadratic covariation with endogenous sampling times

Yoann Potiron2016

OA

Articlebronze2016

Estimation of integrated quadratic covariation with endogenous sampling times

Yoann Potiron · Per A. Mykland

21 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1999Continuous Martingales and Brownian Motion 1977Estimating betas from nonsynchronous data 2003Limit Theorems for Stochastic Processes 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 1991Continuous Martingales and Brownian Motion 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1996Handbook of Brownian Motion — Facts and Formulae 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

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Year2016

Typearticle

Published2016-11-10

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2016.10.004

openalex_workW950377278

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