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ID 14556
file
creator
Kanatani, Taro
NDC
Statistics
description
In this paper we propose an unbiased estimator of cross-volatility (conditional covariance between two asset returns) when we must use evenly spaced data which have already been manipulated by previoustick interpolation.
This research was partially supported by the Ministry of Education, Culture, Sports, Science and Technology (MEXT), Grant-in-Aid for 21st Century COE Program "Interfaces for Advanced Economic Analys".
ノート
date of issued
2005-02-27
language
eng
nii type
Preprint
HU type
Preprints
text version
author
department
Graduate School of Social Sciences