Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling |
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Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (English)
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28 August 2014
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diffusion processes
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Hayashi-Yoshida estimator
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limit theorems
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consistency
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asymptotic mixed normality
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integrated covariance
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nonsynchronous observations
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pre-averaging
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stable convergence
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strong predictability
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market microstructure noise
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