Browsing Preprints aus dem Institut für Mathematik by Subject "Market microstructure noise"

Now showing items 1-1 of 1

2011-08-11Buch

Efficient covariance estimation for asynchronous noisy high-frequency data

Bibinger, Markus

We focus on estimating the integrated covariance of log-price processes in the presence of market microstructure noise. We construct an efficient unbiased estimator for the quadratic covariation of two Itô processes in the ...