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Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. (2012). Corsi, Fulvio ; Audrino, Francesco ; Peluso, Stefano.
In: Economics Working Paper Series.
RePEc:usg:econwp:2012:02.

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Cited: 13

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  2. Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo.
    In: Papers.
    RePEc:arx:papers:1909.10807.

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  3. A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. (2014). Liu, Cheng ; Tang, Cheng Yong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:2:p:217-232.

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  4. Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks. (2014). Audrino, Francesco.
    In: Computational Statistics & Data Analysis.
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  5. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Elst, Harry Vander ; Veredas, David.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws142416.

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  6. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Veredas, David ; Elst, Harry Vander.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:es142416.

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  7. Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading. (2014). Hounyo, Ulrich.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-35.

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  8. Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling. (2013). Koike, Yuta.
    In: Global COE Hi-Stat Discussion Paper Series.
    RePEc:hst:ghsdps:gd12-276.

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  9. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2012:14.

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  10. Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices. (2012). Xiu, Dacheng ; Shephard, Neil.
    In: Economics Series Working Papers.
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  11. Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices. (2012). Shephard, Neil ; Xiu, Dacheng.
    In: Economics Papers.
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  12. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
    In: SFB 649 Discussion Papers.
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