Estimation Of Integrated Covariances In The Simultaneous Presence Of Nonsynchronicity Microstructure Noise And Jumps
Work
Year: 2015
Type: article
Abstract: We propose a new estimator for the integrated covariance of two Itô semimartingales observed at a high frequency. This new estimator, which we call the pre-averaged truncated Hayashi–Yoshida estimator... more
Source: Econometric Theory
Author Yuta Koike
Institution The Institute of Statistical Mathematics
Cites: 64
Cited by: 36
Related to: 10
FWCI: 3.395
Citation percentile (by year/subfield): 87.52
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green