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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects

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Figure

Table 1: Small data sample example for the S&P 500 index future on 24 July 2003 (20030724).
Table 2: Root mean squared errors (RMSE) of the estimation errors on the annualized covariance for a simulation set-up having
Table 3: Mean, standard deviation and root mean squared errors (RMSE) of the estimation
Table 4: Mean, standard deviation and root mean squared errors (RMSE) of the estimation
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