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Nonsynchronous Data and the Covariance-Factor Structure of Returns

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Author Info
 Shanken, Jay

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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 42 (1987)
Issue (Month): 2 (June)
Pages: 221-31
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Handle: RePEc:bla:jfinan:v:42:y:1987:i:2:p:221-31

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  1. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany. [Downloadable!]
  2. Juan Carlos Gómez-Sala, 2001. "Rentabilidad y liquidez alrededor de la fecha de desdoblamiento de las acciones," Investigaciones Economicas, Fundación SEPI, vol. 25(1), pages 171-202, January. [Downloadable!]
  3. David Abad & Antonio Rubia, 1999. "- Evaluation Of The Fixing Trading System In The Spanish Market," Working Papers. Serie EC 1999-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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This page was last updated on 2008-11-26.

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