Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data (Q2911651): Difference between revisions

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Property / arXiv ID: 0812.3536 / rank
 
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Latest revision as of 14:49, 5 July 2024

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Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data
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    Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data (English)
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    1 September 2012
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    asynchronous observations
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    market microstructure noise
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    multi-scale estimator
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    optimal rate
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    quadratic covariation estimator
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    subsampling
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