Efficient covariance estimation for asynchronous noisy high-frequency data (Q2911651)
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scientific article; zbMATH DE number 6075206
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient covariance estimation for asynchronous noisy high-frequency data |
scientific article; zbMATH DE number 6075206 |
Statements
1 September 2012
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asynchronous observations
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market microstructure noise
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multi-scale estimator
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optimal rate
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quadratic covariation estimator
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subsampling
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Efficient covariance estimation for asynchronous noisy high-frequency data (English)
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