Markus Reiss

Humboldt University of Berlin

Berlin, 10099

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

266

SSRN CITATIONS
Rank 32,204

SSRN RANKINGS

Top 32,204

in Total Papers Citations

11

CROSSREF CITATIONS

8

Scholarly Papers (2)

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

CFS Working Paper, No. 477
Number of pages: 56 Posted: 09 Oct 2014
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 122 (233,365)
Citation 5

Abstract:

Loading...

local method of moments, spot covariance, smoothing, intraday (co-)variation risk

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

Number of pages: 42 Posted: 08 Oct 2014 Last Revised: 03 Nov 2016
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 85 (299,524)
Citation 4

Abstract:

Loading...

local method of moments, spot covariance, smoothing, intraday (co-)variation risk

2.

Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency

Number of pages: 39 Posted: 26 Aug 2013
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 59 (363,076)
Citation 8

Abstract:

Loading...

adaptive estimation, asymptotic equivalence, asynchronous observations, integrated covolatility matrix, quadratic covariation, semiparametric efficiency, microstructure noise, spectral estimation