Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
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Publication:464183
DOI10.1214/14-AOS1224zbMATH Open1302.62190arXiv1303.6146MaRDI QIDQ464183FDOQ464183
Nikolaus Hautsch, Markus Reiß, Peter Malec, Markus Bibinger
Publication date: 17 October 2014
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time observation model where a local generalised method of moments in the spectral domain turns out to be optimal. Asymptotic semi-parametric efficiency is established in the Cram'{e}r-Rao sense. Main findings are that nonsynchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation. Simulations illustrate the finite-sample behaviour.
Full work available at URL: https://arxiv.org/abs/1303.6146
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semiparametric efficiencymicrostructure noiseasymptotic equivalencehigh-frequency dataasynchronous observationsintegrated covolatility matrix
Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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