The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times

DOI10.1016/j.jeconom.2018.09.007zbMath1452.62782OpenAlexW2897359020WikidataQ129061343 ScholiaQ129061343MaRDI QIDQ1739634

Lan Zhang, Dachuan Chen, Per Aslak Mykland

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.09.007

zbMATH Keywords

microstructureconsistencyequivalent martingale measureefficiencyrobust estimationleverage effectstable convergencerealized volatilityItô processdiscrete observationpre-averagingasynchronous timestwo scales estimationendogenous timesirregular timesleads and lags

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44)

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Robust covariance estimation with noisy high-frequency financial data ⋮ The observed asymptotic variance: hard edges, and a regression approach ⋮ Adaptive robust large volatility matrix estimation based on high-frequency financial data ⋮ Realized regression with asynchronous and noisy high frequency and high dimensional data ⋮ High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times ⋮ The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data ⋮ Editorial for the special issue on financial engineering and risk management for JoE ⋮ A CLT for second difference estimators with an application to volatility and intensity

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