Second-order asymptotic expansion for a non-synchronous covariation estimator
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Publication:720740
DOI10.1214/10-AIHP383zbMATH Open1328.62511arXiv0804.0676MaRDI QIDQ720740FDOQ720740
Authors: Arnak S. Dalalyan, Nakahiro Yoshida 
Publication date: 11 October 2011
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: In this paper, we consider the problem of estimating the covariation of two diffusion processes when observations are subject to non-synchronicity. Building on recent papers cite{Hay-Yos03, Hay-Yos04}, we derive second-order asymptotic expansions for the distribution of the Hayashi-Yoshida estimator in a fairly general setup including random sampling schemes and non-anticipative random drifts. The key steps leading to our results are a second-order decomposition of the estimator's distribution in the Gaussian set-up, a stochastic decomposition of the estimator itself and an accurate evaluation of the Malliavin covariance. To give a concrete example, we compute the constants involved in the resulting expansions for the particular case of sampling scheme generated by two independent Poisson processes.
Full work available at URL: https://arxiv.org/abs/0804.0676
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Cited In (10)
- Estimation of the realized (co-)volatility vector: large deviations approach
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- Limit distribution of the least square estimator with observations sampled at random times driven by standard Brownian motion
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- Asymptotic expansion and estimates of Wiener functionals
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect
- Large and moderate deviations of realized covolatility
- Edgeworth expansion for Euler approximation of continuous diffusion processes
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