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ArticleNonsynchronous covariation process and limit theorems

Takaki Hayashi2010

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Articlebronze2010

Nonsynchronous covariation process and limit theorems

Takaki Hayashi · Nakahiro Yoshida

53 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2003Limit Theorems for Stochastic Processes 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 1979Comovements in Stock Prices in the Very Short Run 2005On covariance estimation of non-synchronously observed diffusion processes 1998Asymptotic error distributions for the Euler method for stochastic differential equations 1997Estimation of an Ergodic Diffusion from Discrete Observations 1995Martingale Estimation Functions for Discretely Observed Diffusion Processes 1999Statistical inference for diffusion type processes

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2015Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data 2013Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency 2015ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS 2014Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling 2020Estimation for high-frequency data under parametric market microstructure noise

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Year2010

Typearticle

Published2010-12-23

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations53

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2010.12.005

openalex_workW2018657189

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