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Barndorff-Nielsen, O.E., Hansen, P.R., Lunde, A. and Shephard, N. (2011) Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Nonsynchronous Trading. Journal of Econometrics, 162, 149-169.
http://dx.doi.org/10.1016/j.jeconom.2010.07.009

has been cited by the following article:

• TITLE: Asymmetric Impact of Financial Integration to International Nonsynchronous Trading Effects in Developed and Emerging Equity Markets

  AUTHORS: KiHoon Jimmy Hong

  KEYWORDS: Nonsynchronous Trading, Equity Market Integration, Price Autocorrelation

  JOURNAL NAME: Theoretical Economics Letters, Vol.4 No.7, August 4, 2014

  ABSTRACT: This paper investigates the impact of the international equity market integration to the international nonsynchronous trading effects (INTE). The paper finds that the financial market integration would increase INTE, in general, and the impact monotonically decreases over the lag length. However empirical evidence suggests that the increase is asymmetric among developed and emerging markets. Further theoretical investigation reveals that the level of volatility and autocorrelation are positively related to the increase in INTE. The paper concludes that the relatively higher level of volatility and autocorrelation in emerging markets could mitigate the increase in INTE from financial market integration.