An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory

DOI10.1016/j.spa.2012.04.002zbMath1239.62096arXiv1106.4228MaRDI QIDQ429296

Markus Bibinger

Publication date: 19 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.4228

zbMATH Keywords

microstructure noise; non-synchronous observations; stable limit theorem; integrated covolatility; multiscale estimator

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62G05: Nonparametric estimation

60F05: Central limit and other weak theorems

62M05: Markov processes: estimation; hidden Markov models

Related Items

Estimation of Correlation Between Latent Processes, Spectral Estimation of Covolatility from Noisy Observations Using Local Weights, An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps, Unnamed Item, ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS, Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas, Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise, Sparse PCA-based on high-dimensional Itô processes with measurement errors, Asymptotic theory for large volatility matrix estimation based on high-frequency financial data, Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling, Time endogeneity and an optimal weight function in pre-averaging covariance estimation, Quasi-likelihood analysis for nonsynchronously observed diffusion processes, Forecasting realized volatility: a review, 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, Confidence interval for correlation estimator between latent processes, Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data, Estimation of the realized (co-)volatility vector: large deviations approach, Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading, Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
• Asymptotic equivalence for inference on the volatility from noisy observations
• Nonsynchronous covariation process and limit theorems
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Quasi-maximum likelihood estimation of volatility with high frequency data
• Ultra high frequency volatility estimation with dependent microstructure noise
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
• On covariance estimation of non-synchronously observed diffusion processes
• Microstructure noise in the continuous case: the pre-averaging approach
• Central limit theorem for the realized volatility based on tick time sampling
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• Inference for Continuous Semimartingales Observed at High Frequency
• Diffusions with measurement errors. I. Local Asymptotic Normality
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
• A Tale of Two Time Scales