当微观结构效应和抽样持续时间均具有持久性和内生性时,多种证券价格协方差矩阵的偏差校正估计量

A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous

Journal of Econometrics · 2016
被引 14
人大 AABS 4
金融计量经济学高频金融资产定价时间序列分析