Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies |
| |
| Authors: | Dong Wan Shin Sangun Park |
| |
| Affiliation: | Department of Statistics, Ewha University, Seoul 120-750, Republic of Korea Department of Applied Statistics, Yonsei University, Seoul, Republic of Korea |
| |
| Abstract: | Efficiency of the realized variance of an asset is improved by taking advantage of another asset whose return is cross-sectionally correlated with that of the asset and is less sensitive to market microstructure noises permitting higher frequency sampling than the original asset. |
| |
| Keywords: | C13 C22 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
