Finding a precise variance-covariance matrix is the building block of empirical finance. While microstructure-noise-robust methods for realized volatility are in the mainstream of financial econometrics, little if any attention has been devoted to estimating a noise-free realized covariance for...

In this paper we consider properties of random aggregation in time series analysis. For application, we focus on the problem of estimating high-frequency beta of an asset return when the returns are subject to the effects of market microstructure. Specifically, we study the correlation between...