An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps

DOI10.1111/sjos.12043zbMath1416.62460OpenAlexW2125518785MaRDI QIDQ5418636

Yuta Koike

Publication date: 26 May 2014

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12043

zbMATH Keywords

semimartingaleasynchronous observationsHayashi-Yoshida estimatorthreshold estimatorinfinite activity jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Martingales with continuous parameter (60G44)

Related Items (4)

Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ Estimation for high-frequency data under parametric market microstructure noise ⋮ Confidence interval for correlation estimator between latent processes ⋮ Estimation of Correlation Between Latent Processes

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