Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

DOI10.1016/j.jeconom.2010.05.001zbMath1431.62472MaRDI QIDQ736693

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

zbMATH Keywords

central limit theorem; high-frequency data; diffusion models; market microstructure noise; pre-averaging; non-synchronous trading; realised covariance

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F05: Central limit and other weak theorems

62M05: Markov processes: estimation; hidden Markov models

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