Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
Estimating the covariance and correlation between assets using high frequency data is challenging due to market microstructure effects and Epps effects. In this paper we extend Xiu's univariate QML approach to the multivariate case, carrying out inference as if the observations arise from an a...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Published: |
University of Oxford
2012
|