Estimation of integrated quadratic covariation with endogenous sampling times

DOI10.1016/J.JECONOM.2016.10.004zbMATH Open1443.62369arXiv1507.01033OpenAlexW950377278MaRDI QIDQ506040FDOQ506040

Authors: Yoann Potiron, Per Aslak Mykland 

Publication date: 30 January 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on the relationship between the prices process and the observation times. In this paper, we introduce a general endogenous two-dimensional nonparametric model. Because an observation is generated whenever an auxiliary process called observation time process hits one of the two boundary processes, it is called the hitting boundary process with time process (HBT) model. We establish a central limit theorem for the Hayashi-Yoshida (HY) estimator under HBT in the case where the price process and the observation price process follow a continuous Ito process. We obtain an asymptotic bias. We provide an estimator of the latter as well as a bias-corrected HY estimator of the high-frequency covariance. In addition, we give a consistent estimator of the associated standard error.

Full work available at URL: https://arxiv.org/abs/1507.01033

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zbMATH Keywords

asymptotic biashigh-frequency dataquadratic covariationtime endogeneityHayashi-Yoshida estimatorasynchronous timesendogenous model

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

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Cited In (14)

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