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Estimating the Quadratic Covariation Matrix from Noisy Observations:...
ideas.repec.org
Downloadable! An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale...
Estimating the Spot Covariation of Asset Prices – Statistical Theory...
ideas.repec.org
Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical ...
Markus Bibinger - The Mathematics Genealogy Projectwww.genealogy.math.ndsu.nodak.edu › ...
www.genealogy.math.ndsu.nodak.edu
Markus Bibinger. MathSciNet. Ph.D. Humboldt-Universität zu Berlin Germany. Dissertation: Estimating the Quadratic Covariation from Asynchronous Noisy ...
Estimating the quadratic covariation of an asynchronously observed ...www.econbiz.de › Record
www.econbiz.de
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. Markus Bibinger, Mathias Vetter. We consider estimation of the ...
High-Frequency Statistics with Asynchronous and Irregular Databooks.google.com › books
books.google.de
[7] Markus Bibinger, Nikolaus Hautsch, Peter Malec, and Markus Reiß. Estimating the spot covariation of asset prices - statistical theory and empirical evidence.
Estimating the Quadratic Covariation of an Asynchronously Observed...
books.google.com.ua
... Covariation of an Asynchronously Observed Semimartingale with Jumps. Front Cover. Markus Bibinger, Mathias Vetter. Universitätsbibliothek Dortmund,
[ ] Estimating the quadratic covariation matrix from noisy...
arxiv.org
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency. Authors:Markus Bibinger, Nikolaus Hautsch, Peter ...
Estimating the Spot Covariation of Asset Prices – Statistical Theory...
papers.ssrn.com
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise an
[ v1] Estimating the quadratic covariation matrix from noisy...
arxiv.org
Title:Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency. Authors:Markus Bibinger, Nikolaus Hautsch, ...
Estimating the Quadratic Covariation Matrix from Noisy Observations:...
papers.ssrn.com
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and
OPUS 4 | Estimating the spot covariation of asset prices –...
publikationen.ub.uni-frankfurt.de
Estimating the spot covariation of asset prices – statistical theory and empirical evidence. Markus Bibinger, Nikolaus Hautsch, Peter Malec, ...
EconPapers: Estimating the Quadratic Covariation Matrix from Noisy...
econpapers.repec.org
By Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss; Abstract: An efficient estimator is constructed for the quadratic covariation or integrated ...
Estimating the quadratic covariation of an asynchronously observed...
link.springer.com
Markus Bibinger · -berlin.de (1); Mathias Vetter · mathias.vetter @rub.de (2). Author Affiliations. 1. Institut für Mathematik ...
Efficient covariance estimation for asynchronous noisy high-frequency...
archive.org
We focus on estimating the integrated covariance of log-price processes in the presence of market microstructure noise. We construct an efficient unbiased...
EconPapers: Estimating the quadratic covariation of an asynchronously...
econpapers.repec.org
By Markus Bibinger and Mathias Vetter; Abstract: We consider estimation of the quadratic (co)variation of a semimartingale from discrete ...
Estimating the Spot Covariation of Asset Prices—Statistical Theory...
figshare.com
posted on , 10:26 by Markus Bibinger, Nikolaus Hautsch, Peter Malec, Markus Reiss. We propose a new estimator for the spot covariance matrix of a ...
Estimating the Spot Covariation of Asset Prices—Statistical Theory...
datascience.univie.ac.at
... Covariation of Asset Prices—Statistical Theory and Empirical Evidence. Author(s): Markus Bibinger, Nikolaus Hautsch, Peter Malec, Markus Reiss; Abstract.
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Mathias Trabs Tobias Linzert Christopher Neely | Nikolaus Hautsch Mathias Vetter Markus Pauly | Marie Curie Taras Bodnar Stefan Bibinger |
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