Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Kim Christensen, Silja Kinnebrock, Mark Podolskij

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

    Original languageEnglish
    JournalJournal of Econometrics
    Volume159
    Issue1
    Pages (from-to)116-133
    ISSN0304-4076
    DOIs
    Publication statusPublished - 2010

    Cite this