On covariance estimation of non-synchronously observed diffusion processes (Q1781192)
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scientific article; zbMATH DE number 2182619
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| English | On covariance estimation of non-synchronously observed diffusion processes |
scientific article; zbMATH DE number 2182619 |
Statements
On covariance estimation of non-synchronously observed diffusion processes (English)
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23 June 2005
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Brownian motion
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Poisson sampling
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correlation estimators
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diffusions
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discrete-time observations
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high-frequency data
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mathematical finance
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non-synchronous trading
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quadratic variation
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realized volatility
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0.9225354194641112
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0.8528004884719849
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0.845535159111023
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0.8244467973709106
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0.8202779293060303
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