25 citations · 89 across the 33 of their papers we have counts for
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math.ST2013
Central limit theorems for pre-averaging covariance estimators under endogenous sampling times
Yuta Koike
We consider two continuous Itô semimartingales observed with noise and sampled at stopping times in a nonsynchronous manner. In this article we establish a central limit theorem fo…
math.ST2013
Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps
Yuta Koike
We propose a new estimator for the integrated covariance of two Ito semimartingales observed at a high-frequency. This new estimator, which we call the pre-averaged truncated Hayas…
math.ST2013★ 1 cited
Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
Yuta Koike
We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner. The observation data is contaminated by some noise, which is p…