25 citations · 89 across the 33 of their papers we have counts for
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math.ST2014★ 21 cited
Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
Yuta Koike
This paper presents a central limit theorem for a pre-averaged version of the realized covariance estimator for the quadratic covariation of a discretely observed semimartingale wi…
math.ST2014★ 1 cited
Time endogeneity and an optimal weight function in pre-averaging covariance estimation
Yuta Koike
We establish a central limit theorem for a class of pre-averaging covariance estimators in a general endogenous time setting. In particular, we show that the time endogeneity has n…