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Central limit theorem
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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-
synchronous
data
Christensen, Kim
;
Kinnebrock, Silja
;
Podolskij, Mark
-
HAL
-
2010
under microstructure noise and non-
synchronous
trading. A pre-averaged realised covariance is proposed, and we present an …
Persistent link: https://www.econbiz.de/10010570532
Saved in:
2
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-
synchronous
data
Christensen, Kim
;
Kinnebrock, Silja
;
Podolskij, Mark
-
HAL
-
2010
under microstructure noise and non-
synchronous
trading. A pre-averaged realised covariance is proposed, and we present an …
Persistent link: https://www.econbiz.de/10010898713
Saved in:
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