A bias correction method for realized covariance calculated using previous-tick interpolation, Preliminary version : February 27,2005
bias_correction.pdf 196 KB
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".
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Graduate School of Social Sciences
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