Kim Christensen, Silja Kinnebrock, Mark Podolskij
arXiv 23 Feb 2026 · Econometrics
arXiv:2602.19645 · PDF · Extracted main text
We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an asymptotic theory for this new estimator, which can be configured to possess an optimal convergence rate or to ensure positive semi-definite covariance matrix estimates. We also derive a noise-robust Hayashi-Yoshida estimator that can be implemented on the original data without prior alignment of prices. We uncover the finite sample properties of our estimators with simulations and illustrate their practical use on high-frequency equity data.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008) Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and n… | 1.000 | 12 | 4 | 100% |
| 2 | Hayashi and Yoshida (2005) On covariance estimation of non-synchronously observed diffusion processes | 1.000 | 6 | 4 | 100% |
| 3 | Jacod, Li, Mykland, Podolskij, and Vetter (2009) Microstructure noise in the continuous case: The pre-averaging approach | 0.874 | 12 | 4 | 67% |
| 4 | Bandi and Russell (2006) Separating microstructure noise from volatility | 0.843 | 3 | 3 | 100% |
| 5 | Griffin and Oomen (2006) Covariance measurement in the presence of non-synchronous trading and market microstructure noise | 0.843 | 3 | 3 | 100% |
| 6 | Podolskij and Vetter (2009) Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps | 0.830 | 7 | 4 | 57% |
| 7 | Aït-Sahalia, Mykland, and Zhang (2005) How often to sample a continuous-time process in the presence of market microstructure noise | 0.644 | 2 | 2 | 100% |
| 8 | Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008) Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise | 0.644 | 2 | 2 | 100% |
| 9 | Christensen, Podolskij, and Vetter (2010) A central limit theorem for the Hayashi-Yoshida estimator under microstructure noise and non-synchronous trading | 0.644 | 2 | 2 | 100% |
| 10 | Epps (1979) Comovements in stock prices in the very short run | 0.644 | 2 | 2 | 100% |
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