Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

Annals of the Institute of Statistical Mathematics

Volumn 60, Issue 2, 2008, Pages 367-406

  Hayashi, Takaki ^a   Yoshida, Nakahiro ^b  

^a KEIO UNIVERSITY   (Japan)

^b UNIVERSITY OF TOKYO   (Japan)

Author keywords

Diffusions; Discrete time observations; High frequency data; Nonsynchronicity; Quadratic variation; Realized volatility

Indexed keywords

ASYMPTOTIC ANALYSIS; PROBLEM SOLVING; SAMPLING;

DISCRETE TIME OBSERVATIONS; QUADRATIC VARIATION;

COVARIANCE MATRIX;

EID: 43849100909     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-007-0138-0     Document Type: Article

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