{
  "abstract": "We study the estimation of the quadratic covariation of two continuous Itô martingales X and Y observed asynchronously under endogenous mixed time-space sampling schemes. For each process, observations are triggered either when the process variation reaches a fixed deviation threshold or when a prescribed maximum time interval, referred to as the heartbeat threshold, has elapsed. The resulting observation times of X and Y are therefore asynchronous and endogenous. In this setting, we derive an explicit convergence rate for the Hayashi-Yoshida estimator, expressed in terms of the deviation and heartbeat thresholds.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": null,
  "author_total": 2,
  "authors": [
    {
      "name": "Emmanuel Gobet"
    },
    {
      "name": "Louis Latournerie"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/4ngvwkf5jbtqj.bib",
  "cited_by": 0,
  "doi": null,
  "fulltext_url": null,
  "id": "4ngvwkf5jbtqj",
  "issns": [],
  "landing_url": "https://hal.science/hal-05849949v1",
  "language": "en",
  "licence": "CC-BY-4.0",
  "licence_label": "CC BY 4.0",
  "licence_source": "article",
  "licence_url": "https://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": null,
  "native_subjects": [
    [
      "hal",
      "0.math"
    ],
    [
      "hal",
      "0.qfin"
    ],
    [
      "hal",
      "1.math.math-st"
    ],
    [
      "hal",
      "1.qfin.cp"
    ]
  ],
  "openalex": null,
  "pdf_url": "https://hal.science/hal-05849949/document",
  "pmcid": null,
  "pmid": null,
  "published": "2026-11-03",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/4ngvwkf5jbtqj.ris",
  "sources": [
    {
      "first_seen": "2026-11-04T12:20:51Z",
      "native_id": "hal-05849949",
      "source": "hal",
      "url": "https://hal.science/hal-05849949v1"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "hal:1.math.math-st",
      "subfield": "statistics"
    }
  ],
  "title": "L2-error bounds for covariation estimation under asynchronous mixed time-space sampling",
  "title_text": "L2-error bounds for covariation estimation under asynchronous mixed time-space sampling",
  "type": "preprint",
  "updated_at": "2026-11-05T12:20:12Z",
  "url": "https://research.draconitic.com/paper/4ngvwkf5jbtqj",
  "venue": "HAL",
  "versions": []
}