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20132026
most citedImproved Central Limit Theorem and bootstrap approximations in high dimensions

25 citations · 89 across the 33 of their papers we have counts for

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Showing 2014Show all

2 papers · 1 filter

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…