Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444): Difference between revisions
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Revision as of 01:30, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time endogeneity and an optimal weight function in pre-averaging covariance estimation |
scientific article |
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Time endogeneity and an optimal weight function in pre-averaging covariance estimation (English)
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21 April 2017
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central limit theorem
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jumps
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market microstructure noise
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non-synchronous observations
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pre-averaging
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time endogeneity
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