Bibinger, Markus; Winkelmann, Lars - In: Journal of Econometrics 184 (2015) 2, pp. 361-378
We establish estimation methods to determine co-jumps in multivariate high-frequency data with non-synchronous observations and market microstructure. A rate-optimal estimator of the entire quadratic covariation of an Itô-semimartingale is constructed by a locally adaptive spectral approach....