Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183)
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scientific article; zbMATH DE number 6357967
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| English | Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency |
scientific article; zbMATH DE number 6357967 |
Statements
Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (English)
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17 October 2014
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asymptotic equivalence
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asynchronous observations
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integrated covolatility matrix
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high-frequency data
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semiparametric efficiency
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microstructure noise
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0.8708736896514893
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0.8337783813476562
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0.8323213458061218
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0.8220515847206116
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