1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.ST2011
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Markus Bibinger
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high…
math.ST2011
Asymptotics of Asynchronicity
Markus Bibinger
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hay…
math.ST2008★ 1 cited
Efficient covariance estimation for asynchronous noisy high-frequency data
Markus Bibinger
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 quadrat…