Consistent estimation of covariation under nonsynchronicity

Statistical Inference for Stochastic Processes

Volumn 11, Issue 1, 2008, Pages 93-106

  Hayashi, Takaki ^a   Kusuoka, Shigeo ^b  

^a KEIO UNIVERSITY   (Japan)

^b UNIVERSITY OF TOKYO   (Japan)

Author keywords

Consistency; Discrete time sampling; High frequency data; Nonsynchronous trading; Quadratic variation; Realized covariance; Semimartingale; Stopping time

Indexed keywords

EID: 35648969629     PISSN: 13870874     EISSN: 15729311     Source Type: Journal    
DOI: 10.1007/s11203-007-9009-9     Document Type: Article

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