Consistent estimation of covariation under nonsynchronicity

Author:

Hayashi Takaki,Kusuoka Shigeo

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Reference12 articles.

1. Andersen TG, Bollerslev T, Diebold FX and Labys P (2001). The distribution of realized exchange rate volatility. J Am Statist Assoc. 96(453): 42–55

2. Barndorff-Nielsen OE and Shephard N (2004). Econometric analysis of realized covariation: high-frequency based covariance, regression and correlation in financial economics. Econometrica 72: 885–925

3. Epps TW (1979). Comovements in stock prices in the very short run. J Am Statist Assoc 74: 291–298

4. Valentine JJ and Genon-Catalot (1993). On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Ann Insti Henri Poincaré, Probab Statist 29(1): 119–151

5. Hayashi T, Kusuoka S (2004) Nonsynchronous covariation measurement for continuous semimartingales Preprint 2004–21, Grad. Sch. of Math. Sci., Univ. of Tokyo

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