Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
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Publication:402723
DOI10.1016/j.spa.2014.03.008zbMath1335.60040arXiv1302.4887OpenAlexW2166023458MaRDI QIDQ402723
Publication date: 28 August 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.4887
consistencydiffusion processeslimit theoremsstable convergencemarket microstructure noisepre-averagingHayashi-Yoshida estimatorasymptotic mixed normalityintegrated covariancenonsynchronous observationsstrong predictability
Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15) Diffusion processes (60J60)
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