Estimation of integrated quadratic covariation with endogenous sampling times
نویسندگان
چکیده
منابع مشابه
Estimation of integrated quadratic covariation with endogenous sampling times
When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on the relationship between the prices process and the observation times. In this paper, we introduce a general endogenous two-dimensional nonparametric model. Because an observation is generated whenever an auxiliary pr...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2017
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2016.10.004