Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data (Q2911651)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data |
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Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data (English)
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1 September 2012
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asynchronous observations
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market microstructure noise
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multi-scale estimator
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optimal rate
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quadratic covariation estimator
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subsampling
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