This paper presents a Hayashi–Yoshida-type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent non-synchronous points. The estimator of the covariation matrix is...

In this article we introduce a three-parameter extension of the bivariate exponential-geometric (BEG) law (Kozubowski and Panorska, 2005) [4]. We refer to this new distribution as the bivariate gamma-geometric (BGG) law. A bivariate random vector (X,N) follows the BGG law if N has geometric...