Bibinger, Markus; Winkelmann, Lars - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is modeled by an Itˆo …-jump and continuous part in quadratic covariation. Our estimation procedure implicitly renders spot (co-)variance estimators …