Akitoshi Kimura   Nakahiro Yoshida   
ADVANCED MODELLING IN MATHEMATICAL FINANCE: IN HONOUR OF ERNST EBERLEIN 189 131-146 2016年 [査読有り]
This paper discusses estimation of correlation between hidden semimartingales. We show the consistency and the asymptotic mixed normality of the proposed correlation estimator in a high frequency setting. As an example, estimation of covariance be...