Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data

Scandinavian Journal of Statistics

Volumn 38, Issue 1, 2011, Pages 23-45

  Bibinger, Markus ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Asynchronous observations; Market microstructure noise; Multi scale estimator; Optimal rate; Quadratic covariation estimator; Subsampling

Indexed keywords

EID: 79951537524     PISSN: 03036898     EISSN: 14679469     Source Type: Journal    
DOI: 10.1111/j.1467-9469.2010.00712.x     Document Type: Article

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