Consistent estimation of covariation under nonsynchronicity
| Year of publication: |
2008
|
|---|---|
| Authors: | Hayashi, Takaki ; Kusuoka, Shigeo |
| Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 11.2008, 1, p. 93-106
|
| Publisher: |
Springer |
| Subject: | Consistency | Discrete-time sampling | High-frequency data | Nonsynchronous trading | Quadratic variation | Realized covariance | Semimartingale | Stopping time |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005184598