Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
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- Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," CFS Working Paper Series 477, Center for Financial Studies (CFS).
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jacod, Jean & Mykland, Per A., 2015. "Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2910-2936.
- Markus Bibinger & Lars Winkelmann, 2014. "Common price and volatility jumps in noisy high-frequency data," SFB 649 Discussion Papers SFB649DP2014-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2018. "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics," Papers 1803.04894, arXiv.org.
More about this item
Keywordslocal method of moments; spot covariance; smoothing; intraday (co-)variation risk;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-04-09 (All new papers)
- NEP-ALL-2016-04-16 (All new papers)
- NEP-ECM-2016-04-09 (Econometrics)
- NEP-MST-2016-04-09 (Market Microstructure)
- NEP-MST-2016-04-16 (Market Microstructure)
- NEP-RMG-2016-04-09 (Risk Management)
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