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~institution:"Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät"
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adaptive estimation
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asymptotic equivalence
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asynchronous observations
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integrated covolatility matrix
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microstructure noise
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quadratic covariation
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semiparametric efficiency
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Hautsch, Nikolaus
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Cowles Foundation for Research in Economics, Yale University
8
Centre de Recherche sur l'Emploi et les Fluctuations Économiques (CREFÉ), École des Sciences de la Gestion (ESG)
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Institute for the Study of Labor (IZA)
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Tilburg University, Center for Economic Research
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Centre for Microdata Methods and Practice (CEMMAP)
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Department of Econometrics and Business Statistics, Monash Business School
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Department of Economics, University of Pennsylvania
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London School of Economics (LSE)
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Berkeley Electronic Press
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Center for Applied Statistics and Econometrics (CASE), Humboldt-Universität Berlin
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Department of Economics, Oxford University
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Duke University, Department of Economics
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Econometric Society
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European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
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Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät
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Palgrave Macmillan
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School of Economics and Finance, Queen Mary
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School of Economics and Management, University of Aarhus
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School of Economics and Political Science, Universität St. Gallen
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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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Vanderbilt University Department of Economics
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Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2013
out to be optimal. Asymptotic
semiparametric
efficiency
is established in the Cramér-Rao sense. Main findings are that non …
Persistent link: https://www.econbiz.de/10010640724
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