Realized Semicovariances
نویسندگان
چکیده
منابع مشابه
Supplemental Appendix to : Realized SemiCovariances : Looking for Signs of Direction Inside the Covariance Matrix
• Section S1 expands on the simulation results in Section 2.3, by providing rejection rates for additional parameter choices, as well as simulations which incorporate a diurnal pattern in the spot-volatility. In addition to the more detailed results for the test of P = N , we also provide additional results pertaining to the test of M =M−. • Section S2 elaborates on the test results in Section ...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2020
ISSN: 0012-9682
DOI: 10.3982/ecta17056