Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of Econometrics 162 (2011) 2, pp. 149-169
We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement error of certain types and can also handle non-synchronous trading. It is the first estimator...