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    請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/51681


    題名: Correcting microstructure comovement biases for integrated covariance
    作者: Yeh,JH;Wang,JN
    貢獻者: 財務金融學系
    關鍵詞: HIGH-FREQUENCY DATA;ECONOMETRIC-ANALYSIS;VOLATILITY;NOISE;LIQUIDITY
    日期: 2010
    上傳時間: 2012-03-27 19:02:42 (UTC+8)
    出版者: 國立中央大學
    摘要: Finding a precise variance-covariance matrix is the building block of empirical finance. While microstructure-noise-robust methods for realized volatility are in the mainstream of financial econometrics, little if any attention has been devoted to estimating a noise-free realized covariance for overlooking the well-documented manifestation of commonality in market microstructure factors such as order flows, liquidity or herding. By documenting and recognizing this fact, we propose a microstructure-noise-free non-parametric covariance estimator to uncover the virtual integrated covariance. The estimator is easy to implement and performs admirably. (C) 2010 Elsevier Inc. All rights reserved.
    關聯: FINANCE RESEARCH LETTERS
    顯示於類別:[財務金融學系] 期刊論文

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