Chapter: A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

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Home > The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen > A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen |

Mark Podolskij; Robert Stelzer; Steen Thorbjørnsen; Almut E. D. Veraart

Springer International Publishing

The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Chapter Info

Authors

Peter Reinhard Hansen; Guillaume Horel; Asger Lunde; Ilya Archakov

ARI Id

1664859512780_3817694

Access

Not Available Free

Pages

361-394

DOI

10.1007/978-3-319-25826-3_17

Chapter URL

https://rd.springer.com/chapter/10.1007/978-3-319-25826-3_17

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