Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Publication information:
Barndorff-Nielsen, Ole E., Peter Hansen, Asger Lunde, and Neil Shephard. 2011. “Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices With Noise and Non-Synchronous Trading”. Journal of Econometrics 162: 149-69.