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20092026
most citedEstimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

310 citations · 565 across the 13 of their papers we have counts for

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econ.EM2026★ 76 cited

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

Kim Christensen, Mark Podolskij, Mathias Vetter

This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process a…