Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

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Title
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
Authors
Keywords
Quadratic covariation, Market microstructure noise, Asynchronous observations, Fourier Realized Kernel
Journal
JOURNAL OF ECONOMETRICS
Volume 191, Issue 2, Pages 325-347
Publisher
Elsevier BV
Online
2015-12-24
DOI
10.1016/j.jeconom.2015.12.005

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