On covariance estimation of non-synchronously observed diffusion processes

• 1 April 2005
• journal article
• Published by Bernoulli Society for Mathematical Statistics and Probability in Bernoulli
• Vol. 11  (2) , 359-379
• https://doi.org/10.3150/bj/1116340299

Abstract

Keywords

• DIFFUSIONS
• DISCRETE-TIME OBSERVATIONS
• HIGH-FREQUENCY DATA
• MATHEMATICAL FINANCE
• NON-SYNCHRONOUS TRADING
• QUADRATIC VARIATION
• REALIZED VOLATILITY