Christensen, Kim; Podolskij, Mark; Vetter, Mathias - In: Journal of Multivariate Analysis 120 (2013) C, pp. 59-84
-synchronous points. The estimator of the covariation matrix is designed via a certain combination of the local averages and the Hayashi–Yoshida … estimator. Our method does not require any synchronization of the observation scheme (as for example the previous tick method or …
