Consistent estimation of covariation under nonsynchronicity
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consistencydiscrete-time samplinghigh-frequency datanonsynchronous tradingquadratic variationrealized covariancesemimartingalesstopping time
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Estimation for diffusion processes from discrete observation
- Fourier series method for measurement of multivariate volatilities
- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
- On covariance estimation of non-synchronously observed diffusion processes
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- The Distribution of Realized Exchange Rate Volatility
Cited in
(20)- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- On covariance estimation of non-synchronously observed diffusion processes
- Estimation of the lead-lag parameter from non-synchronous data
- Estimation for high-frequency data under parametric market microstructure noise
- Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions
- Estimation of endogenously sampled time series: the case of commodity price speculation in the steel market
- Random aggregation with applications in high-frequency finance
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- scientific article; zbMATH DE number 1932263 (Why is no real title available?)
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- Estimation of correlation between latent processes
- Estimation of integrated quadratic covariation with endogenous sampling times
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- 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
- Nonsynchronous covariation process and limit theorems
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- An econometric analysis of nonsynchronous trading
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