On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes

This paper presents a Hayashi-Yoshida type estimator for th e covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate pr ocess are assumed to be observed at highly frequent nonsynchronous points. The estimator of the covariation matri x is designed via a certain combination of the local averages and the… CONTINUE READING