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Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices.

Abstract:

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 asynchronously observed vector scaled Brownian model observed with error. Under stochastic volatility the resulting QML estimator is positive semi-definite, uses all available data, is consistent and as...

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Publisher:
Department of Economics (University of Oxford)
Series:
Discussion paper series
Publication date:
2012-01-01
Language:
English
UUID:
uuid:8cb0cd56-693d-4f38-b4eb-0eaa2a0b08b9
Local pid:
oai:economics.ouls.ox.ac.uk:15397
Deposit date:
2013-04-20

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