Wang, Kent; Liu, Junwei; Liu, Zhi - In: Journal of Banking & Finance 37 (2013) 5, pp. 1777-1786
We propose a new threshold–pre-averaging realized estimator for the integrated co-volatility of two assets using non-synchronous observations with the simultaneous presence of microstructure noise and jumps. We derive a noise-robust Hayashi–Yoshida estimator that allows for very general...