Estimation of the lead-lag parameter from non-synchronous data
From MaRDI portal
Publication:1952430
DOI10.3150/11-BEJ407zbMath1456.62248arXiv1303.4871MaRDI QIDQ1952430
Nakahiro Yoshida, Mathieu Rosenbaum, Marc Hoffmann
Publication date: 30 May 2013
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.4871
contrast estimationdiscretely observed continuous-time processesHayashi-Yoshida covariation estimatorlead-lag effect
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) Financial applications of other theories (91G80)
Related Items
Inference for time-varying lead-lag relationships from ultra-high-frequency data, Ultra-high-frequency lead–lag relationship and information arrival, On the limiting spectral distribution of the covariance matrices of time-lagged processes, On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect, Review of statistical approaches for modeling high-frequency trading data, Direct estimation of lead-lag relationships using multinomial dynamic time warping, Some limit theorems for Hawkes processes and application to financial statistics, An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps, No arbitrage and lead-lag relationships, Estimation of Correlation Between Latent Processes, Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions, Wavelet-Based Methods for High-Frequency Lead-Lag Analysis
Cites Work
- Unnamed Item
- On the limiting spectral distribution of the covariance matrices of time-lagged processes
- Integrated volatility and round-off error
- Estimating covariation: Epps effect, microstructure noise
- Consistent estimation of covariation under nonsynchronicity
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- On covariance estimation of non-synchronously observed diffusion processes
- Fourier series method for measurement of multivariate volatilities
- Microstructure noise in the continuous case: the pre-averaging approach
- A new microstructure noise index
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Nonparametric Estimation Methods of Integrated Multivariate Volatilities
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
- A Tale of Two Time Scales
