Time endogeneity and an optimal weight function in pre-averaging covariance estimation
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Publication:523444
DOI10.1007/s11203-016-9135-3zbMath1369.62215arXiv1403.7889OpenAlexW1844643011MaRDI QIDQ523444
Publication date: 21 April 2017
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.7889
jumpscentral limit theoremmarket microstructure noisenon-synchronous observationstime endogeneitypre-averaging
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)
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