This paper introduces a new estimator to measure the ex-post covariation between high-frequency financial time series under market microstructure noise. We provide an asymptotic limit theory (including feasible central limit theorems) for standard methods such as regression, correlation analysis...

In this paper we present the central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the results derived in Barndorff-Nielsen, Graversen, Jacod, Podolskij & Shephard (2006), who showed the central limit theorem for even...