A Bias Correction Method for Realized Covariance Calculated Using Previous Tick Interpolation, Preliminary version : October 9, 2005
Use this link to cite this item : https://ir.lib.hiroshima-u.ac.jp/00014539
| ID | 14539 |
| file | |
| creator |
Kanatani, Taro
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| subject | Integrated cross volatility
Unevenly sampled observations
Previous tick interpolation
Bias correction
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| NDC |
Statistics
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| 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 Analysis".
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| date of issued | 2005-10-09
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| language |
eng
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| nii type |
Preprint
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| HU type |
Preprints
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| DCMI type | text
|
| format | application/pdf
|
| text version | author
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| department |
Graduate School of Social Sciences
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