High-frequency covariance estimates with noisy and asynchronous financial data

Journal of the American Statistical Association

Volumn 105, Issue 492, 2010, Pages 1504-1517

  Aït Sahalia, Yacine ^a   Fan, Jianqing ^b   Xiu, Dacheng ^a  

^a PRINCETON UNIVERSITY   (United States)

^b Princeton University   (United States)

Author keywords

Covariance; Generalized synchronization method; Market microstructure noise; Quasi maximum likelihood estimator; Refresh time

Indexed keywords

EID: 78651290789     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/jasa.2010.tm10163     Document Type: Article

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