An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296): Difference between revisions

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

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scholarly article

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title

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

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author

Markus Bibinger

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published in

Stochastic Processes and their Applications

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publication date

19 June 2012

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full work available at URL

https://arxiv.org/abs/1106.4228

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zbMATH Keywords

integrated covolatility

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microstructure noise

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multiscale estimator

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non-synchronous observations

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stable limit theorem

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MaRDI profile type

MaRDI publication profile

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cites work

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

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Ultra high frequency volatility estimation with dependent microstructure noise

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

0 references

Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data

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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

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Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data

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Central limit theorem for the realized volatility based on tick time sampling

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Diffusions with measurement errors. I. Local Asymptotic Normality

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Q3911791

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On covariance estimation of non-synchronously observed diffusion processes

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Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

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Nonsynchronous covariation process and limit theorems

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Q4349243

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Microstructure noise in the continuous case: the pre-averaging approach

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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

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Inference for Continuous Semimartingales Observed at High Frequency

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Asymptotic equivalence for inference on the volatility from noisy observations

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Q5515900

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Q3357972

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Quasi-maximum likelihood estimation of volatility with high frequency data

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Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

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A Tale of Two Time Scales

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Identifiers

zbMATH Open document ID

1239.62096

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DOI

10.1016/j.spa.2012.04.002

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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@@ Property / arXiv ID: 1106.4228 / rank @@
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+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
+Normal rank
@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data
+Normal rank
@@ Property / cites work @@
+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
+Normal rank
@@ Property / cites work @@
+Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
+Normal rank
@@ Property / cites work @@
+Central limit theorem for the realized volatility based on tick time sampling
+Normal rank
@@ Property / cites work @@
+Diffusions with measurement errors. I. Local Asymptotic Normality
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+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 @@
+Q4349243
@@ Property / cites work: Q4349243 / rank @@
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
+Normal rank
@@ Property / cites work @@
+Inference for Continuous Semimartingales Observed at High Frequency
+Normal rank
@@ Property / cites work @@
+Asymptotic equivalence for inference on the volatility from noisy observations
+Normal rank
@@ Property / cites work @@
+Q5515900
@@ Property / cites work: Q5515900 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3357972
@@ Property / cites work: Q3357972 / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation of volatility with high frequency data
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:429296