Work

Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading

Year: 2012

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.2045571

Authors: Neil Shephard, Dacheng Xiu

Institutions: Harvard University, University of Oxford, University of Chicago

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2137376794

Cites: 109

Cited by: 23

Related to: 10