Estimation of the lead-lag parameter from non-synchronous data (Q1952430): Difference between revisions

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+Microstructure Noise, Realized Variance, and Optimal Sampling
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+VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
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+On the limiting spectral distribution of the covariance matrices of time-lagged processes
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