An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models.
This paper introduces a new estimator to measure the ex-post covariation between high-frequency financial time series under market microstructure noise. We provide anasymptotic limit theory (including feasible central limit theorems) for standard methods such as regression, correlation analysis and...
| Autores principales: | , |
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| Formato: | Working paper |
| Lenguaje: | English |
| Publicado: |
Oxford-Man Institute of Quantitative Finance
2008
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