Consistent estimation of covariation under nonsynchronicity
type: Item
instance of: scholarly article
title: Consistent estimation of covariation under nonsynchronicity
zbMATH Open document ID: 1148.62070
author: Takaki Hayashi
author: Shigeo Kusuoka
published in: Statistical Inference for Stochastic Processes
publication date: 2008-09-22T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5345730
zbMATH Keywords: consistency
zbMATH Keywords: discrete-time sampling
zbMATH Keywords: high-frequency data
zbMATH Keywords: nonsynchronous trading
zbMATH Keywords: quadratic variation
zbMATH Keywords: realized covariance
zbMATH Keywords: semimartingales
zbMATH Keywords: stopping time
MaRDI profile type: Publication
full work available at URL: s11203-007-9009-9
OpenAlex ID: W2070099590
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DOI: 10.1007/S11203-007-9009-9
description: scientific article; zbMATH DE number 5345730