Multivariate realised kernels: Consistent positive...

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

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard
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Volume:
162
Year:
2011
Language:
english
Pages:
21
DOI:
10.1016/j.jeconom.2010.07.009
File:
PDF, 907 KB
english, 2011
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