Estimation of integrated quadratic covariation with endogenous sampling times

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Title
Estimation of integrated quadratic covariation with endogenous sampling times
Authors
Keywords
Asymptotic bias, Asynchronous times, Endogenous model, Hayashi–Yoshida estimator, High-frequency data, Quadratic covariation, Time endogeneity
Journal
JOURNAL OF ECONOMETRICS
Volume 197, Issue 1, Pages 20-41
Publisher
Elsevier BV
Online
2016-11-10
DOI
10.1016/j.jeconom.2016.10.004

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