Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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Publication:736693
DOI10.1016/J.JECONOM.2010.05.001zbMATH Open1431.62472OpenAlexW3124202622MaRDI QIDQ736693FDOQ736693
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- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
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