Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data
Article first published online: 30 SEP 2010
© 2010 Board of the Foundation of the Scandinavian Journal of Statistics
Scandinavian Journal of Statistics
Volume 38, Issue 1, pages 23–45, March 2011
How to Cite
BIBINGER, M. (2011), Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data. Scandinavian Journal of Statistics, 38: 23–45. doi: 10.1111/j.1467-9469.2010.00712.x
- Issue published online: 15 FEB 2011
- Article first published online: 30 SEP 2010
- Received December 2008, in final form June 2010
Data S1. Proof of Theorem 2.
Data S2. Supplementary simulations.
|SJOS_712_sm_supporting-proof.pdf||78K||Supporting info item|
|SJOS_712_sm_supporting-simulations.pdf||190K||Supporting info item|
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