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Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
Digital文書・図像類
Barndorff-Nielsen, Ole E., Hansen, Peter Reinhard, Lunde, Asger, Shephard, NeilInstitute of Economic Research, Hitotsubashi University2009-03
Available onlineOther Libraries in Japan
  • Subject HeadingHAC estimator Long run variance estimator Market frictions Quadratic variation Realised variance

On the supremum and the quadratic variation of real-valued continuous local submartingales

On the supremum and the quadratic variation of real-valued continuous local submartingales
Digital文書・図像類
高岡, 浩一郎Graduate School of Commerce and Management, Hitotsubashi University2003-09-10
Available onlineOther Libraries in Japan
  • Subject HeadingLocal martingale submartingale supremum quadratic variation tail distribution

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