Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise

We analyze the effects of market microstructure noise on the Fourier estimator of multivariate volatilities. We prove that the estimator is consistent in the case of asynchronous data and robust in the presence of microstructure noise. This result is obtained through an analytical computation of the bias and the mean squared error of the Fourier estimator and con¯rmed by Monte Carlo experiments.

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