Concepedia

A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous

Shin Ikeda

Journal of Econometrics · 2016 · 14 citations · 50 references

DOI

Concepts

References

50

Spectral Analysis and Time Series

David B. Preston · Technometrics · 1983 · 4.9K citations

, , +14

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald W. K. Andrews · Econometrica · 1991 · 4.1K citations

, , +15

Brownian motion and stochastic calculus

Jan Seidler · Acta Applicandae Mathematicae · 1991 · 2.2K citations

, , +14

Time Series: Data Analysis and Theory.

W. D. Ray, David R. Brillinger · Journal of the Royal Statistical Society Series A (General) · 1982 · 1.4K citations

, , +10

A Tale of Two Time Scales

Lan Zhang, Per A. Mykland, Yacine Aı̈t-Sahalia · Journal of the American Statistical Association · 2005 · 1.3K citations

, , +15