Estimation of integrated quadratic covariation with endogenous sampling times
Year of publication: |
March 2017
|
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Authors: | Potiron, Yoann ; Mykland, Per A. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 197.2017, 1, p. 20-41
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Subject: | Asymptotic bias | Asynchronous times | Endogenous model | Hayashi-Yoshida estimator | High-frequency data | Quadratic covariation | Time endogeneity | Schätztheorie | Estimation theory | Korrelation | Correlation | Stichprobenerhebung | Sampling | Zeit | Time | Systematischer Fehler | Bias |
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