Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2009
-frequency financial time series under market microstructure noise and non-synchronous trading. A modulated realised covariance based on … Kinnebrock and Mark Podolskij
Pre-averaging estimators of the ex-post covariance matrix
in noisy diffusion models with non-synchronous … and non-synchronous trading. A modulated realised covariance
based on pre-averaged data is proposed and studied in this …