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Second-order asymptotic expansion for a non-synchronous covariation estimator
4 April 2008
A. Dalalyan
Nakahiro Yoshida
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Papers citing
"Second-order asymptotic expansion for a non-synchronous covariation estimator"
7 / 7 papers shown
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Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data
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On the asymptotic structure of Brownian motions with a small lead-lag effect
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Large deviations of the realized (co-)volatility vector
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Arnaud Guillin
Yacouba Samoura
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19 Nov 2014
Estimation of the lead-lag parameter from non-synchronous data
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20 Mar 2013
Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
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20 Feb 2013
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