An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636): Difference between revisions

Revision as of 12:56, 8 July 2024

scientific article; zbMATH DE number 6298512

Language	Label	Description	Also known as
English	An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps	scientific article; zbMATH DE number 6298512

Statements

instance of

scholarly article

0 references

title

An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (English)

0 references

author

Yuta Koike

0 references

published in

Scandinavian Journal of Statistics

0 references

publication date

26 May 2014

0 references

zbMATH Keywords

asynchronous observations

0 references

Hayashi-Yoshida estimator

0 references

infinite activity jumps

0 references

threshold estimator

0 references

semimartingale

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1111/sjos.12043

0 references

cites work

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

0 references

Volatility estimators for discretely sampled Lévy processes

0 references

Estimating the degree of activity of jumps in high frequency data

0 references

Modeling and Forecasting Realized Volatility

0 references

Time-varying leverage effects

0 references

Realized kernels in practice: trades and quotes

0 references

Limit theorems for multipower variation in the presence of jumps

0 references

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory

0 references

Nonparametric tests for pathwise properties of semimartingales

0 references

Second-order asymptotic expansion for a non-synchronous covariation estimator

0 references

Consistent estimation of covariation under nonsynchronicity

0 references

On covariance estimation of non-synchronously observed diffusion processes

0 references

Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

0 references

Nonsynchronous covariation process and limit theorems

0 references

Estimation of the lead-lag parameter from non-synchronous data

0 references

Asymptotic properties of realized power variations and related functionals of semimartingales

0 references

Q4778955

0 references

Testing for common arrivals of jumps for discretely observed multidimensional processes

0 references

A note on the central limit theorem for bipower variation of general functions

0 references

Fourier series method for measurement of multivariate volatilities

0 references

A Fourier transform method for nonparametric estimation of multivariate volatility

0 references

IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS

0 references

Option Pricing in Multivariate Stochastic Volatility Models of OU Type

0 references

ANOVA for diffusions and Itō processes

0 references

Quasi-likelihood analysis for the stochastic differential equation with jumps

0 references

On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes

0 references

Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading

0 references

Threshold selection in jump-discriminant filter for discretely observed jump processes

0 references

Estimation of parameters for diffusion processes with jumps from discrete observations

0 references

Jumps and betas: a new framework for disentangling and estimating systematic risks

0 references

Estimating covariation: Epps effect, microstructure noise

0 references

Identifiers

zbMATH Open document ID

1416.62460

0 references

DOI

10.1111/sjos.12043

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5418636

@@ Property / full work available at URL @@
+https://doi.org/10.1111/sjos.12043
+Normal rank
@@ Property / OpenAlex ID @@
+W2125518785
@@ Property / OpenAlex ID: W2125518785 / rank @@
+Normal rank
@@ Property / cites work @@
+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
+Normal rank
@@ Property / cites work @@
+Volatility estimators for discretely sampled Lévy processes
+Normal rank
@@ Property / cites work @@
+Estimating the degree of activity of jumps in high frequency data
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Time-varying leverage effects
@@ Property / cites work: Time-varying leverage effects / rank @@
+Normal rank
@@ Property / cites work @@
+Realized kernels in practice: trades and quotes
@@ Property / cites work: Realized kernels in practice: trades and quotes / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for multipower variation in the presence of jumps
+Normal rank
@@ Property / cites work @@
+An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
+Normal rank
@@ Property / cites work @@
+Nonparametric tests for pathwise properties of semimartingales
+Normal rank
@@ Property / cites work @@
+Second-order asymptotic expansion for a non-synchronous covariation estimator
+Normal rank
@@ Property / cites work @@
+Consistent estimation of covariation under nonsynchronicity
+Normal rank
@@ Property / cites work @@
+On covariance estimation of non-synchronously observed diffusion processes
+Normal rank
@@ Property / cites work @@
+Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
+Normal rank
@@ Property / cites work @@
+Nonsynchronous covariation process and limit theorems
+Normal rank
@@ Property / cites work @@
+Estimation of the lead-lag parameter from non-synchronous data
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for common arrivals of jumps for discretely observed multidimensional processes
+Normal rank
@@ Property / cites work @@
+A note on the central limit theorem for bipower variation of general functions
+Normal rank
@@ Property / cites work @@
+Fourier series method for measurement of multivariate volatilities
+Normal rank
@@ Property / cites work @@
+A Fourier transform method for nonparametric estimation of multivariate volatility
+Normal rank
@@ Property / cites work @@
+IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
+Normal rank
@@ Property / cites work @@
+Option Pricing in Multivariate Stochastic Volatility Models of OU Type
+Normal rank
@@ Property / cites work @@
+ANOVA for diffusions and Itō processes
@@ Property / cites work: ANOVA for diffusions and Itō processes / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-likelihood analysis for the stochastic differential equation with jumps
+Normal rank
@@ Property / cites work @@
+On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
+Normal rank
@@ Property / cites work @@
+Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
+Normal rank
@@ Property / cites work @@
+Threshold selection in jump-discriminant filter for discretely observed jump processes
+Normal rank
@@ Property / cites work @@
+Estimation of parameters for diffusion processes with jumps from discrete observations
+Normal rank
@@ Property / cites work @@
+Jumps and betas: a new framework for disentangling and estimating systematic risks
+Normal rank
@@ Property / cites work @@
+Estimating covariation: Epps effect, microstructure noise
+Normal rank