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

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

40 Citations (Scopus)

Original language	English
Journal	Journal of Multivariate Analysis
Volume	120
Pages (from-to)	59-84
ISSN	0047-259X
DOIs	https://doi.org/10.1016/j.jmva.2013.05.002
Publication status	Published - 2013

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@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 Inc.",

}

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

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

SN - 0047-259X

VL - 120

SP - 59

EP - 84

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

ER -