Voev, Valeri; Lunde, Asger - In: Journal of Financial Econometrics 5 (2007) 1, pp. 68-104
We analyze the effects of nonsynchronicity and market microstructure noise on realized covariance type estimators. Hayashi and Yoshida (2005) propose a simple estimator that resolves the problem of nonsynchronicity and is unbiased and consistent for the integrated covariance in the absence of...