Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

Takaki Hayashi () and Nakahiro Yoshida ()

Annals of the Institute of Statistical Mathematics, 2008, vol. 60, issue 2, pages 367-406

Keywords: Diffusions; Discrete-time observations; High-frequency data; Nonsynchronicity; Quadratic variation; Realized volatility (search for similar items in EconPapers)
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