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
Kim Christensen, Mark Podolskij, Silja Kinnebrock
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.05.001
central limit theoremhigh-frequency datamarket microstructure noisepre-averagingdiffusion modelsnon-synchronous tradingrealised covariance
Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
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