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

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scientific article; zbMATH DE number 6298512

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English	An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps	scientific article; zbMATH DE number 6298512

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instance of

scholarly article

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title

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

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author

Yuta Koike

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published in

Scandinavian Journal of Statistics

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publication date

26 May 2014

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zbMATH Keywords

asynchronous observations

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Hayashi-Yoshida estimator

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infinite activity jumps

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threshold estimator

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semimartingale

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MaRDI profile type

MaRDI publication profile

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full work available at URL

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

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cites work

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

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Volatility estimators for discretely sampled Lévy processes

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Estimating the degree of activity of jumps in high frequency data

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Modeling and Forecasting Realized Volatility

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Time-varying leverage effects

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Realized kernels in practice: trades and quotes

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Limit theorems for multipower variation in the presence of jumps

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

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Nonparametric tests for pathwise properties of semimartingales

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

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Consistent estimation of covariation under nonsynchronicity

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

0 references

Asymptotic properties of realized power variations and related functionals of semimartingales

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Q4778955

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Testing for common arrivals of jumps for discretely observed multidimensional processes

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

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Fourier series method for measurement of multivariate volatilities

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A Fourier transform method for nonparametric estimation of multivariate volatility

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

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Option Pricing in Multivariate Stochastic Volatility Models of OU Type

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ANOVA for diffusions and Itō processes

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Quasi-likelihood analysis for the stochastic differential equation with jumps

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

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

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

0 references

Estimation of parameters for diffusion processes with jumps from discrete observations

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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

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5418636

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+https://doi.org/10.1111/sjos.12043
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@@ 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
@@ links / mardi / name / links / mardi / name @@
+Publication:5418636