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On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes

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On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes. / Christensen, Kim; Podolskij, Mark; Vetter, Mathias.

I: Journal of Multivariate Analysis, Bind 120, 2013, s. 59-84.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

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Bibtex

@article{6df0d486af574f679caad4aead537edc,
title = "On covariation estimation for multivariate continuous It{\^o} semimartingales with noise in non-synchronous observation schemes",
author = "Kim Christensen and Mark Podolskij and Mathias Vetter",
year = "2013",
doi = "10.1016/j.jmva.2013.05.002",
language = "English",
volume = "120",
pages = "59--84",
journal = "Journal of Multivariate Analysis",
issn = "0047-259X",
publisher = "Academic Press",

}

RIS

TY - JOUR

T1 - On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes

AU - Christensen, Kim

AU - Podolskij, Mark

AU - Vetter, Mathias

PY - 2013

Y1 - 2013

U2 - 10.1016/j.jmva.2013.05.002

DO - 10.1016/j.jmva.2013.05.002

M3 - Journal article

VL - 120

SP - 59

EP - 84

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

SN - 0047-259X

ER -