On covariance estimation of non-synchronously observed diffusion processes (Q1781192)
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scientific article; zbMATH DE number 2182619
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On covariance estimation of non-synchronously observed diffusion processes |
scientific article; zbMATH DE number 2182619 |
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On covariance estimation of non-synchronously observed diffusion processes (English)
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23 June 2005
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Brownian motion
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Poisson sampling
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correlation estimators
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diffusions
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discrete-time observations
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high-frequency data
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mathematical finance
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non-synchronous trading
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quadratic variation
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realized volatility
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