Bibinger, Markus - In: Stochastic Processes and their Applications 122 (2012) 6, pp. 2411-2453
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...