Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading-Reference-Cited by-同舟云学术

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Published:2011-06 Issue:2 Volume:162 Page:149-169
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Barndorff-Nielsen Ole E.,Hansen Peter Reinhard,Lunde Asger,Shephard Neil

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference70 articles.

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