Christensen, K., Grawert, S., & Podolskij, M. (2010). Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. Journal of econometrics, 159(1), . https://doi.org/10.1016/j.jeconom.2010.05.001
Chicago-Zitierstil (17. Ausg.)Christensen, Kim, Silja Grawert, und Mark Podolskij. "Pre-averaging Estimators of the Ex-post Covariance Matrix in Noisy Diffusion Models with Non-synchronous Data." Journal of Econometrics 159, no. 1 (2010). https://doi.org/10.1016/j.jeconom.2010.05.001.
MLA-Zitierstil (9. Ausg.)Christensen, Kim, et al. "Pre-averaging Estimators of the Ex-post Covariance Matrix in Noisy Diffusion Models with Non-synchronous Data." Journal of Econometrics, vol. 159, no. 1, 2010, https://doi.org/10.1016/j.jeconom.2010.05.001.