An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
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microstructure noisenon-synchronous observationsstable limit theoremintegrated covolatilitymultiscale estimator
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05)
Abstract: The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It^o processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate on convenient regularity assumptions. The inevitably remaining impact of asynchronous deterministic sampling schemes and noise corruption on the asymptotic distribution is precisely elucidated. A case study for various important examples, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in applications.
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Cited in
(28)- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- Confidence interval for correlation estimator between latent processes
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