City Research Online

Items where Author is "Peluso, S."

Up a level
Export as [feed] RSS 2.0 [feed] RSS
Group by: Type | No Grouping
Jump to: Article
Number of items: 3.

Article

Buccheri, G., Corsi, F. ORCID: 0000-0003-2683-4479 and Peluso, S. (2020). High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model. Journal of Business & Economic Statistics, doi: 10.1080/07350015.2019.1697699

Peluso, S., Corsi, F. and Mira, A. (2015). A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns. Journal of Financial Econometrics, 13(3), pp. 665-697. doi: 10.1093/jjfinec/nbu017

Corsi, F., Peluso, S. and Audrino, F. (2015). Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. Journal of Applied Econometrics, 30(3), pp. 377-397. doi: 10.1002/jae.2378

This list was generated on Thu Oct 22 04:56:34 2020 UTC.