Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31140%2F21%3A00056956" target="_blank" >RIV/61384399:31140/21:00056956 - isvavai.cz</a>
Alternative codes found
RIV/61384399:31140/23:00056956
Result on the web
<a href="https://link.springer.com/article/10.1007%2Fs10614-021-10210-w" target="_blank" >https://link.springer.com/article/10.1007%2Fs10614-021-10210-w</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10614-021-10210-w" target="_blank" >10.1007/s10614-021-10210-w</a>

Result language
angličtina
Original language name
Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data
Original language description
Main topics of the document: ultra-high-frequency data; market microstructure noise; quadratic covariation; streaming algorithm
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA19-02773S" target="_blank" >GA19-02773S: Streaming financial data and related identification and optimization problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Result description