On covariance estimation of non-synchronously observed diffusion processes
type: Item
instance of: scholarly article
title: On covariance estimation of non-synchronously observed diffusion processes
zbMATH Open document ID: 1064.62091
author: Takaki Hayashi
author: Nakahiro Yoshida
published in: Bernoulli
publication date: 2005-06-23T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 2182619
zbMATH Keywords: Brownian motion
zbMATH Keywords: Poisson sampling
zbMATH Keywords: correlation estimators
zbMATH Keywords: diffusions
zbMATH Keywords: discrete-time observations
zbMATH Keywords: high-frequency data
zbMATH Keywords: mathematical finance
zbMATH Keywords: non-synchronous trading
zbMATH Keywords: quadratic variation
zbMATH Keywords: realized volatility
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.3150/bj/1116340299
OpenAlex ID: W2094859553
DOI: 10.3150/BJ/1116340299
description: scientific article; zbMATH DE number 2182619