Nonsynchronous trading is one of the hot issues in financial high-frequency data processing. This paper extends the nonsynchronous trading model studied in [1] and [2] for the financial security, and considers the mom...Nonsynchronous trading is one of the hot issues in financial high-frequency data processing. This paper extends the nonsynchronous trading model studied in [1] and [2] for the financial security, and considers the moment functions of the observable return series for the extended model. At last, the estimators of parameters are obtained.展开更多
文摘Nonsynchronous trading is one of the hot issues in financial high-frequency data processing. This paper extends the nonsynchronous trading model studied in [1] and [2] for the financial security, and considers the moment functions of the observable return series for the extended model. At last, the estimators of parameters are obtained.
