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Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies

Title
Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies
Authors
Shin D.W.Park S.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2012
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 115, no. 3, pp. 334 - 337
Indexed
SSCI; SCOPUS WOS scopus
Abstract
Efficiency of the realized variance of an asset is improved by taking advantage of another asset whose return is cross-sectionally correlated with that of the asset and is less sensitive to market microstructure noises permitting higher frequency sampling than the original asset. © 2012 Elsevier B.V.
DOI
10.1016/j.econlet.2011.12.113
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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