An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Year of publication: |
2012
|
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Authors: | Bibinger, Markus |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 6, p. 2411-2453
|
Publisher: |
Elsevier |
Subject: | Integrated covolatility | Microstructure noise | Multiscale estimator | Non-synchronous observations | Stable limit theorem |
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