Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

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Barndorff-Nielsen, Ole E., Peter R Hansen, Asger Lunde, and Neil Shephard. 2011. “Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.” Journal of Econometrics 162: 149-169.

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Last updated on 01/08/2020

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