We propose a least squares regression framework for the estimation of the realized covariation matrix using high frequency data. The new estimator is robust to market microstructure noise (MMS) and non-synchronous trading. Comprehensive simulation and empirical analysis show that our estimator...

I employ MM-estimation to investigate the external validity of the declining matching between concurrent revenues and expenses found in Srivastava (2014). Srivastava (2014) finds lower matching for successive listing cohorts. However, the low matching values in that study indicate the potential...