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

DOI10.1016/j.spa.2012.04.002zbMath1239.62096arXiv1106.4228OpenAlexW2238801607MaRDI QIDQ429296

Markus Bibinger

Publication date: 19 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.4228

zbMATH Keywords

microstructure noisenon-synchronous observationsstable limit theoremintegrated covolatilitymultiscale estimator

Mathematics Subject Classification ID

Related Items (20)

Forecasting realized volatility: a review ⋮ Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ Sparse PCA-based on high-dimensional Itô processes with measurement errors ⋮ Asymptotic theory for large volatility matrix estimation based on high-frequency financial data ⋮ Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity ⋮ Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading ⋮ Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling ⋮ Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas ⋮ Unnamed Item ⋮ Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data ⋮ Time endogeneity and an optimal weight function in pre-averaging covariance estimation ⋮ Spectral Estimation of Covolatility from Noisy Observations Using Local Weights ⋮ An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps ⋮ ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS ⋮ Quasi-likelihood analysis for nonsynchronously observed diffusion processes ⋮ Confidence interval for correlation estimator between latent processes ⋮ Estimation of Correlation Between Latent Processes ⋮ Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing ⋮ Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data

Cites Work

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• Microstructure noise in the continuous case: the pre-averaging approach
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• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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• Inference for Continuous Semimartingales Observed at High Frequency
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