Appendix to Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise

17 Pages Posted: 26 Jul 2009 Last revised: 27 Jul 2009

See all articles by Jim E. Griffin

Jim E. Griffin

University of Kent; University of Kent - School of Mathematics, Statistics and Actuarial Science

Roel C. A. Oomen

Deutsche Bank AG (London); London School of Economics & Political Science (LSE) - Department of Statistics

Date Written: July 2009

Abstract

This web-appendix provides further details on simulation design, additional empirical results, and an illustration of the proportional bias correction of RCLL.

Suggested Citation

Griffin, Jim E. and Oomen, Roel C.A., Appendix to Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise (July 2009). Available at SSRN: https://ssrn.com/abstract=1438825 or http://dx.doi.org/10.2139/ssrn.1438825

Jim E. Griffin

University of Kent ( email )

Cornwallis Building
Canterbury, Kent CT2 7NF
United Kingdom

HOME PAGE: http://www.kent.ac.uk/ims/personal/jeg28/index.htm

University of Kent - School of Mathematics, Statistics and Actuarial Science ( email )

Cornwallis Building
Canterbury, CT2 7NF
United Kingdom

Roel C.A. Oomen (Contact Author)

Deutsche Bank AG (London) ( email )

Winchester House
1 Great Winchester Street
London, EC2N 2DB
United Kingdom

London School of Economics & Political Science (LSE) - Department of Statistics ( email )

Houghton Street
London, England WC2A 2AE
United Kingdom

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