scholarly journals Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data

2010 ◽  
Vol 38 (1) ◽  
pp. 23-45 ◽  
Author(s):  
MARKUS BIBINGER
Keyword(s):  
High Frequency ◽  
Covariance Estimation ◽  
High Frequency Data ◽  
Frequency Data

Covariance estimation using high-frequency data: Sensitivities of estimation methods

2014 ◽  
Vol 43 ◽  
pp. 416-425 ◽  
Author(s):  
Erik Haugom ◽  
Gudbrand Lien ◽  
Steinar Veka ◽  
Sjur Westgaard
Keyword(s):  
High Frequency ◽  
Covariance Estimation ◽  
Estimation Methods ◽  
High Frequency Data ◽  
Frequency Data

Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data

2017 ◽  
Author(s):  
Rim mname Lamouchi ◽  
Russell mname Davidson ◽  
Ibrahim mname Fatnassi ◽  
Abderazak Ben mname Maatoug
Keyword(s):  
Exchange Rate ◽  
High Frequency ◽  
Realized Volatility ◽  
High Frequency Data ◽  
Frequency Data
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