Correlations and volatilities of asynchronodus data

Journal of Derivatives

Volumn 5, Issue 4, 1998, Pages 7-18

  Burns, Patrick ^a   Engle, Robert ^b   Mezrich, Joseph ^c  

^a Burns Statistics   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c MORGAN STANLEY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85009315745     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1998.408000     Document Type: Article

References (6)

1. Burns, P., R.F. Engle, and J. Mezrich. "Correlations and Volathties of Asynchronous Data." Discussion paper 97-30, University of Cahfornia at San Diego, 1997.
2. Engle, R.F., and J. Mezrich. "GARCH for Groups." RISK, Vol. 9, No. 8 (August 1996), pp. 36-40.
3. Engle, R.F., and K. Kroner. "Multivariate Simultaneous GARCH." Econometric Thcory, 11 (1995), pp. 122-150.
4. Engle, R.F., and G.J. Lee. "A Permanent and Transitory Component Model of Stock Return Volathty." Worlung paper, University of California at San Diego, 1993.
5. Lo, A., and A.C. MacKinlay. "An Econometric Analysis of Nonsynchronous Trading." Journal of Econometrics, 40 (1990), pp. 203-238.
6. Scholes, M., and J. Wdhams. "Estimating Betas from Nonsynchronous Data." Journal of Financial Economics, 5 (1977), pp. 309-328.