Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Year of publication: |
2010
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Authors: | Christensen, Kim ; Kinnebrock, Silja ; Podolskij, Mark |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 1848616. - Vol. 159.2010, 1, p. 116-134
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