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most citedEstimation of the lead-lag parameter from non-synchronous data

63 citations · 155 across the 16 of their papers we have counts for

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math.PR2012

Estimation of volatility functionals: the case of a square root n window

Jean Jacod, Mathieu Rosenbaum

We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency 1/Δ_n, with Δ_n going to zero. The goal of this paper is to provide an estimator for…