Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics.
This paper analyses multivariate high frequency financial data using realized covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis, and covariance. It will be based on a fixed interval of time (e.g., a day or week), allowing the n...
| 主要な著者: | , |
|---|---|
| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
Econometric Society
2004
|