@article{9a0258a4eaff4de48085ace6cbe328a2,
title = "Consistent estimation of covariation under nonsynchronicity",
abstract = "We present a methodology to estimate the covariance of two time series when they are sampled from continuous semimartingales at general stopping times in a nonsynchronous manner. Approximation error bounds being explored, the estimators are shown to be consistent as the size of the sampling intervals tends to zero. The methodology is easy to be implemented with potentially broad applications, especially in financial modeling and analysis involving high-frequency transaction data. The results generalize those recently obtained by obtained by Hayashi and Yoshida (2005, Bernoulli 11(2):359-379)",
keywords = "Consistency, Discrete-time sampling, High-frequency data, Nonsynchronous trading, Quadratic variation, Realized covariance, Semimartingale, Stopping time",
author = "Takaki Hayashi and Shigeo Kusuoka",
note = "Funding Information: Acknowledgements The authors are grateful to Professors Jean Jacod, Masaaki Kijima, and Per Mykland for their useful comments. The authors are especially indebted to Professor Nakahiro Yoshida for his valuable suggestions. Most of the work was done during the first author{\textquoteright}s stay at the University of Tokyo, Graduate School of Mathematical Sciences, in the spring and summer of 2004, which led to the previous vesion of the paper, Hayashi and Kusuoka (2004). He wishes to thank the school for its hospitality. He gratefully acknowledges financial support from the 21st Century COE Program at Graduate School of Mathematical Sciences, the",
year = "2008",
month = feb,
doi = "10.1007/s11203-007-9009-9",
language = "English",
volume = "11",
pages = "93--106",
journal = "Statistical Inference for Stochastic Processes",
issn = "1387-0874",
publisher = "Springer Netherlands",
number = "1",
}