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