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integrated covolatility
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microstructure noise
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multiscale estimator
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non-synchronous observations
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stable limit theorem
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus
-
2011
distribution theory for a generalized
multiscale
estimator
including a feasible central limit theorem with optimal convergence rate …
Persistent link: https://www.econbiz.de/10010281599
Saved in:
2
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2011
distribution theory for a generalized
multiscale
estimator
including a feasible central limit theorem with optimal convergence rate …
Persistent link: https://www.econbiz.de/10009644466
Saved in:
3
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus
- In:
Stochastic Processes and their Applications
122
(
2012
)
6
,
pp. 2411-2453
distribution theory for a generalized
multiscale
estimator
including a feasible central limit theorem with optimal convergence rate …
Persistent link: https://www.econbiz.de/10010577827
Saved in:
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