Time endogeneity and an optimal weight function in pre-averaging covariance estimation

DOI10.1007/S11203-016-9135-3zbMath1369.62215arXiv1403.7889OpenAlexW1844643011MaRDI QIDQ523444

Yuta Koike

Publication date: 21 April 2017

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.7889

zbMATH Keywords

jumpscentral limit theoremmarket microstructure noisenon-synchronous observationstime endogeneitypre-averaging

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items (7)

Inference for time-varying lead-lag relationships from ultra-high-frequency data ⋮ Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ Optimal restricted quadratic estimator of integrated volatility ⋮ Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book ⋮ Estimation of integrated quadratic covariation with endogenous sampling times ⋮ Asymptotic properties of the realized skewness and related statistics ⋮ Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing

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