Unbiased covariance estimation with interpolated data
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- Taro Kanatani, 2007. "Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations," KIER Working Papers 634, Kyoto University, Institute of Economic Research.
More about this item
KeywordsRealized covariance; Previous tick interpolation; Epps effect; Nonsynchronous trading; Bias-correction;
- 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
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-28 (All new papers)
- NEP-ECM-2007-04-28 (Econometrics)
- NEP-MST-2007-04-28 (Market Microstructure)
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