Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

DOI10.1016/j.jeconom.2010.05.001zbMath1431.62472OpenAlexW3124202622MaRDI QIDQ736693

Kim Christensen, Mark Podolskij, Silja Kinnebrock

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.05.001

zbMATH Keywords

central limit theorem high-frequency data diffusion models market microstructure noise pre-averaging non-synchronous trading realised covariance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

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