High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
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Publication:5255690
DOI10.1198/jasa.2010.tm10163zbMath1388.62303OpenAlexW2077816703MaRDI QIDQ5255690
Yacine Aït-Sahalia, Dacheng Xiu, Jianqing Fan
Publication date: 17 June 2015
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2010.tm10163
quasi-maximum likelihood estimatormarket microstructure noiserefresh timegeneralised synchronisation method
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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