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Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling

Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling
Digital文書・図像類
Koike, YutaInstitute of Economic Research, Hitotsubashi University2013-01
Available onlineOther Libraries in Japan
  • Subject Heading...tructure noise Nonsynchronous observations Pre-averaging Stable converge...

Subsampling Cumulative Covariance Estimator

Subsampling Cumulative Covariance Estimator
Digital文書・図像類
Kanatani, Taro滋賀大学経済学部2009-02滋賀大学経済学部Working PaperNo. 104p.1-16
Other Libraries in Japan

A Test for Dependence and Covariance Estimator of Market Microstructure Noise

A Test for Dependence and Covariance Estimator of Market Microstructure Noise
Paper文書・図像類
Ubukata, Masato, Oya, KosukeGraduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University2008-03Discussion Papers In Economics And Business07-03-Rev.2
Other Libraries in Japan
  • Subject Heading...ime-dependence nonsynchronous observations high frequency data

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