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Nonsynchronous covariation process and limit theorems
16 references·6 citing·43 second hop
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References

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59 cited
  • 2012An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory55 cited
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    • 2015Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data36 cited
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    • 2015ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS31 cited
    • 2014Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling28 cited
    • 2020Estimation for high-frequency data under parametric market microstructure noise27 cited
    • 2023Adaptive robust large volatility matrix estimation based on high-frequency financial data25 cited