Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling

20 February 2013

Papers citing "Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling"

5 / 5 papers shown

Title
$Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions$ Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions Kohei Chiba 16 5 0 30 May 2017
Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise Yuta Koike 41 18 0 05 Aug 2014
Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps Yuta Koike 56 31 0 21 Feb 2013
Quasi-Likelihood Analysis for Stochastic Regression Models with Nonsynchronous Observations Teppei Ogihara Nakahiro Yoshida 42 14 0 20 Dec 2012
Second-order asymptotic expansion for a non-synchronous covariation estimator A. Dalalyan Nakahiro Yoshida 77 21 0 04 Apr 2008