Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2009
-frequency covariances,
regression coefficients, and correlations change through time.
Keywords: Central limit theorem; Diffusion models … positive semi-definite estimator of the conditional covariance matrix that appears in the central
limit theorem of MRC, which …. We will later extend the MRC to the non-synchronous setting.
3.2 The central limit theorem
We proceed with the central …