Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
type: Dataset
description: International audience
landing page: 2225-1146
keyword: hac-estimator
keyword: infoeu-reposemanticsarticle
keyword: journal-articles
keyword: long-run-variance-estimator
keyword: market-frictions
keyword: qfinstquantitative-finance-q-finstatistical-finance-q-finst
keyword: quadratic-variation
keyword: realised-variance
issued: 2026-05-11T09:56:10.091626
modified: 2026-05-11T09:56:10.091632
language: en
contact point: Organization
  fn: CCSD

test_moissonnage_selune
type: Agent

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
type: Distribution
format: HTML
access URL: https://hal.science/hal-00815564
issued: 2026-05-11T09:56:10.096377
modified: 2026-05-11T09:56:10.080970