Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise

by Sujin Park; Oliver Linton

Year of publication:	2012
Authors:	Park, Sujin ; Linton, Oliver
Publisher:	London : LSE Financial Markets Group
Subject:	Quadratic covariation \| Fourier transform \| Long run variance estimator \| Market microstructure noise \| Marktmikrostruktur \| Market microstructure \| Schätztheorie \| Estimation theory \| Korrelation \| Correlation \| Noise Trading \| Noise trading \| Volatilität \| Volatility \| Varianzanalyse \| Analysis of variance \| Zeitreihenanalyse \| Time series analysis

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