Inference from High-Frequency Data: A Subsampling Approach
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DOI: 10.1016/j.jeconom.2016.07.010
Abstract: In this paper, we show how to estimate the asymptotic (conditional) covariance matrix, which appears in central limit theorems in high-frequency estimation of asset return volatility. We provide a recipe for the estimation of this… read more here.
Keywords: high frequency; frequency data; frequency; subsampling approach ... See more keywords