Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data |
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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (English)
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4 August 2016
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central limit theorem
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diffusion models
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high-frequency data
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market microstructure noise
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non-synchronous trading
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pre-averaging
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realised covariance
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