Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
From MaRDI portal
Publication:2355172
DOI10.1007/s10463-014-0473-xzbMath1440.62364arXiv1305.3068OpenAlexW2165854033MaRDI QIDQ2355172
Markus Bibinger, Mathias Vetter
Publication date: 21 July 2015
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1305.3068
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Martingales with continuous parameter (60G44)
Related Items
Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ On the estimation of the jump activity index in the case of random observation times ⋮ Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data ⋮ Testing for simultaneous jumps in case of asynchronous observations ⋮ Laws of large numbers for Hayashi-Yoshida-type functionals ⋮ A Hausman test for the presence of market microstructure noise in high frequency data ⋮ Estimation for high-frequency data under parametric market microstructure noise ⋮ Asymptotic properties of the realized skewness and related statistics ⋮ Econometrics of co-jumps in high-frequency data with noise
Cites Work
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Central limit theorems for realized volatility under hitting times of an irregular grid
- Nonsynchronous covariation process and limit theorems
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Limit theorems for moving averages of discretized processes plus noise
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- Asymptotic error distributions for the Euler method for stochastic differential equations
- On covariance estimation of non-synchronously observed diffusion processes
- Irregular sampling and central limit theorems for power variations: the continuous case
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
- Inference for Continuous Semimartingales Observed at High Frequency
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimating functions for diffusion-type processes
- A Tale of Two Time Scales
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
