Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
(2015)
Journal Article
This paper studies the estimation problem of the covariance matrices of asset returns in the presence of microstructure noise and asynchronicity between the observations across different assets. Motivated by Malliavin and Mancino (2002, 2009) we prop... Read More about Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error.