Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
type: Item
instance of: scholarly article
title: Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
zbMATH Open document ID: 1431.62472
author: Kim Christensen
author: Silja Kinnebrock
author: Mark Podolskij
published in: Journal of Econometrics
publication date: 2016-08-04T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 6609324
zbMATH Keywords: central limit theorem
zbMATH Keywords: diffusion models
zbMATH Keywords: high-frequency data
zbMATH Keywords: market microstructure noise
zbMATH Keywords: non-synchronous trading
zbMATH Keywords: pre-averaging
zbMATH Keywords: realised covariance
MaRDI profile type: Publication
full work available at URL: j.jeconom.2010.05.001
OpenAlex ID: W3124202622
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DOI: 10.1016/J.JECONOM.2010.05.001
description: scientific article; zbMATH DE number 6609324