Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2009
School of Economics and Management
Aarhus University
Bartholins Allé 10, Building 1322, DK-8000 Aarhus C
Denmark … Shephard and Matthias Vetter for comments on a
previous draft of this paper.
1 Introduction
The theory of financial economics … = u1D70Eu1D70E′. The quadratic covariation is pivotal in financial economics (see, e.g., the reviews by Barndorff …