Streaming approach to quadratic covariation estimation using financial ultra-high-frequency data

Vladimír Holý, Petra Tomanová

Year of publication:	2023
Authors:	Holý, Vladimír ; Tomanová, Petra
Subject:	Market microstructure noise \| Quadratic covariation \| Streaming algorithm \| Ultra-high-frequency data \| Marktmikrostruktur \| Market microstructure \| Schätztheorie \| Estimation theory \| Korrelation \| Correlation \| Algorithmus \| Algorithm \| Varianzanalyse \| Analysis of variance \| Schätzung \| Estimation

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