Laws of large numbers for Hayashi–Yoshida-type functionals
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-019-00390-7.pdf
Reference28 articles.
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3. Barndorff-Nielsen, O.E., Graversen, S.E., Jacod, J., Podolskij, M., Shephard, N.: A central limit theorem for realised power and bipower variations of continuous semimartingales. In: Kabanov, Y., et al. (eds.) From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift, pp. 33–68. Springer, Berlin (2006)
4. Barndorff-Nielsen, O.E., Hansen, P.R., Lunde, A., Shephard, N.: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. J. Econom. 162, 149–169 (2011)
5. Bibinger, M., Vetter, M.: Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. Ann. Inst. Stat. Math. 67, 707–743 (2015)
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