Consistent estimation of covariation under nonsynchronicity (Q946288): Difference between revisions

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Latest revision as of 17:31, 28 June 2024

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Consistent estimation of covariation under nonsynchronicity
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    Consistent estimation of covariation under nonsynchronicity (English)
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    22 September 2008
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    consistency
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    discrete-time sampling
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    high-frequency data
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    nonsynchronous trading
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    quadratic variation
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    realized covariance
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    semimartingales
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    stopping time
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