Nonsynchronous covariation process and limit theorems

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

Limit Theorems, Density Processes, Engineering +12

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Econometrica · 2004 · 939 citations

Empirical Finance, Engineering, Financial Data +18

On covariance estimation of non-synchronously observed diffusion processes

Takaki Hayashi, Nakahiro Yoshida · Bernoulli · 2005 · 423 citations · Full text

Covariance Estimator, Engineering, Data Science +10

Asymptotic error distributions for the Euler method for stochastic differential equations

Jean Jacod, Philip Protter · The Annals of Probability · 1998 · 416 citations · Full text

Comovements in Stock Prices in the Very Short Run

T. W. Epps · Journal of the American Statistical Association · 1979 · 408 citations

Market Microstructure, Economics, Financial Economics +12