Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise

DOI10.3150/15-BEJ714zbMATH Open1342.60033arXiv1408.0938OpenAlexW2224121206MaRDI QIDQ282571FDOQ282571

Authors: Yuta Koike 

Publication date: 12 May 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: This paper presents a central limit theorem for a pre-averaged version of the realized covariance estimator for the quadratic covariation of a discretely observed semimartingale with noise. The semimartingale possibly has jumps, while the observation times show irregularity, non-synchronicity, and some dependence on the observed process. It is shown that the observation times' effect on the asymptotic distribution of the estimator is only through two characteristics: the observation frequency and the covariance structure of the noise. This is completely different from the case of the realized covariance in a pure semimartingale setting.

Full work available at URL: https://arxiv.org/abs/1408.0938

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zbMATH Keywords

central limit theoremjumpsmicrostructure noisesemimartingalecovariance estimatornon-synchronous observationsquadratic covariationstable limit theoremtime endogeneity

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48)

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Cited In (9)

• Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions
• Laws of large numbers for Hayashi-Yoshida-type functionals
• A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
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• Time endogeneity and an optimal weight function in pre-averaging covariance estimation
• Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
• An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
• Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence

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