Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- Author
- Kris Boudt (UGent) , Sebastien Laurent, Asger Lunde, Rogier Quaedvlieg and Orimar Sauri
- Organization
- Keywords
- OBSERVED DIFFUSION-PROCESSES, HIGH-FREQUENCY DATA, MICROSTRUCTURE NOISE, VOLATILITY, MATRIX, MODELS, RISK, REGRESSION, Cholesky decomposition, Integrated covariance, Non-synchronous trading, Positive semidefinite, Realized covariance
Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-8600214
- MLA
- Boudt, Kris, et al. “Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity.” JOURNAL OF ECONOMETRICS, vol. 196, no. 2, 2017, pp. 347–67, doi:10.1016/j.jeconom.2016.09.016.
- APA
- Boudt, K., Laurent, S., Lunde, A., Quaedvlieg, R., & Sauri, O. (2017). Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. JOURNAL OF ECONOMETRICS, 196(2), 347–367. https://doi.org/10.1016/j.jeconom.2016.09.016
- Chicago author-date
- Boudt, Kris, Sebastien Laurent, Asger Lunde, Rogier Quaedvlieg, and Orimar Sauri. 2017. “Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity.” JOURNAL OF ECONOMETRICS 196 (2): 347–67. https://doi.org/10.1016/j.jeconom.2016.09.016.
- Chicago author-date (all authors)
- Boudt, Kris, Sebastien Laurent, Asger Lunde, Rogier Quaedvlieg, and Orimar Sauri. 2017. “Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity.” JOURNAL OF ECONOMETRICS 196 (2): 347–367. doi:10.1016/j.jeconom.2016.09.016.
- Vancouver
- 1.Boudt K, Laurent S, Lunde A, Quaedvlieg R, Sauri O. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. JOURNAL OF ECONOMETRICS. 2017;196(2):347–67.
- IEEE
- [1]K. Boudt, S. Laurent, A. Lunde, R. Quaedvlieg, and O. Sauri, “Positive semidefinite integrated covariance estimation, factorizations and asynchronicity,” JOURNAL OF ECONOMETRICS, vol. 196, no. 2, pp. 347–367, 2017.
@article{8600214,
author = {{Boudt, Kris and Laurent, Sebastien and Lunde, Asger and Quaedvlieg, Rogier and Sauri, Orimar}},
issn = {{0304-4076}},
journal = {{JOURNAL OF ECONOMETRICS}},
keywords = {{OBSERVED DIFFUSION-PROCESSES,HIGH-FREQUENCY DATA,MICROSTRUCTURE NOISE,VOLATILITY,MATRIX,MODELS,RISK,REGRESSION,Cholesky decomposition,Integrated covariance,Non-synchronous trading,Positive semidefinite,Realized covariance}},
language = {{eng}},
number = {{2}},
pages = {{347--367}},
title = {{Positive semidefinite integrated covariance estimation, factorizations and asynchronicity}},
url = {{http://doi.org/10.1016/j.jeconom.2016.09.016}},
volume = {{196}},
year = {{2017}},
}
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