An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
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Publication:429296
DOI10.1016/J.SPA.2012.04.002zbMATH Open1239.62096arXiv1106.4228OpenAlexW2238801607MaRDI QIDQ429296FDOQ429296
Publication date: 19 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1106.4228
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)
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Cited In (20)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
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- Confidence interval for correlation estimator between latent processes
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- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
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