Nonsynchronous covariation process and limit theorems
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Cites work
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- ANOVA for diffusions and Itō processes
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Cited in
(38)- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
- Confidence interval for correlation estimator between latent processes
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- On covariance estimation of non-synchronously observed diffusion processes
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- Asymptotically efficient estimation for diffusion processes with nonsynchronous observations
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Consistent estimation of covariation under nonsynchronicity
- Quasi-likelihood analysis and its applications
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- Large and moderate deviations of realized covolatility
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- Kolmogorov consistency theorem for nonstochastic random processes
- Estimation for high-frequency data under parametric market microstructure noise
- Estimation of correlation between latent processes
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Adaptive estimation of continuous-time regression models using high-frequency data
- Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- An econometric analysis of nonsynchronous trading
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
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- Estimation of integrated quadratic covariation with endogenous sampling times
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- Structured volatility matrix estimation for non-synchronized high-frequency financial data
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
- Testing for simultaneous jumps in case of asynchronous observations
- Estimation of the realized (co-)volatility vector: large deviations approach
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- Laws of large numbers for Hayashi-Yoshida-type functionals
- A CLT for second difference estimators with an application to volatility and intensity
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