Estimating covariation: Epps effect, microstructure noise

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 33-47

  Zhang, Lan ^a  

^a UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

Biasvariance tradeoff; Epps effect; High frequency data; Market microstructure; Martingale; Measurement error; Nonsynchronous trading; Realized covariance; Realized variance; Two scales estimation

Indexed keywords

BIASVARIANCE TRADEOFF; EPPS EFFECT; HIGH FREQUENCY DATA; MARKET MICROSTRUCTURES; MARTINGALE; NONSYNCHRONOUS TRADING; REALIZED COVARIANCE; REALIZED VARIANCE; TWO SCALES ESTIMATION;

COMMERCE; FREQUENCY ESTIMATION; MICROSTRUCTURE; POTENTIAL FLOW;

ESTIMATION;

EID: 78649737470     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.012     Document Type: Conference Paper

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