Hayashi, Takaki; Yoshida, Nakahiro - In: Stochastic Processes and their Applications 121 (2011) 10, pp. 2416-2454
An asymptotic distribution theory of the nonsynchronous covariation process for continuous semimartingales is presented. Two continuous semimartingales are sampled at stopping times in a nonsynchronous manner. Those sampling times possibly depend on the history of the stochastic processes and...