On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes

DOI10.1016/j.jmva.2013.05.002zbMath1293.62172MaRDI QIDQ391800

Mathias Vetter, Kim Christensen, Mark Podolskij

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.05.002

zbMATH Keywords

central limit theorem; stable convergence; pre-averaging; Hayashi-Yoshida estimator; high frequency observations; Itō semimartingale

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62G20: Asymptotic properties of nonparametric inference

60F05: Central limit and other weak theorems

62M09: Non-Markovian processes: estimation

60G44: Martingales with continuous parameter

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