Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s10463-014-0473-x.pdf
Reference25 articles.
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3. Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A., Shephard, N. (2011). Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Journal of Econometrics, 162(2), 149–169.
4. Barndorff-Nielsen, O. E., Shephard, N. (2002). Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society Series B Statistical Methodology, 64(2), 253–280.
5. Barndorff-Nielsen, O. E., Shephard, N. (2004). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, 2, 1–48.
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