Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data

DOI10.1111/j.1467-9469.2010.00712.xzbMath1246.91148arXiv0812.3536OpenAlexW2157777805MaRDI QIDQ2911651

Markus Bibinger

Publication date: 1 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.3536

zbMATH Keywords

subsamplingasynchronous observationsmarket microstructure noiseoptimal ratemulti-scale estimatorquadratic covariation estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Non-Markovian processes: estimation (62M09) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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