Estimation of integrated quadratic covariation with endogenous sampling times (Q506040)
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scientific article
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| English | Estimation of integrated quadratic covariation with endogenous sampling times |
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Estimation of integrated quadratic covariation with endogenous sampling times (English)
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30 January 2017
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asymptotic bias
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asynchronous times
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endogenous model
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Hayashi-Yoshida estimator
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high-frequency data
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quadratic covariation
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time endogeneity
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0.8486217260360718
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0.8354069590568542
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0.8229509592056274
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0.8197633028030396
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