On covariance estimation of non-synchronously observed diffusion processes

DOI10.3150/bj/1116340299zbMath1064.62091OpenAlexW2094859553MaRDI QIDQ1781192

Publication date: 23 June 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1116340299

zbMATH Keywords

Brownian motion diffusions discrete-time observations high-frequency data mathematical finance quadratic variation realized volatility Poisson sampling non-synchronous trading correlation estimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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