Functional stable limit theorems for quasi-efficient spectral covolatility estimators

DOI10.1016/j.spa.2015.07.009zbMath1327.62188arXiv1401.2272OpenAlexW2241098751MaRDI QIDQ744976

Randolf Altmeyer, Markus Bibinger

Publication date: 12 October 2015

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

Full work available at URL: https://arxiv.org/abs/1401.2272

zbMATH Keywords

asymptotic efficiencyadaptive estimationmicrostructure noisenon-synchronous observationsintegrated volatilitylocal parametric estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (11)

Common price and volatility jumps in noisy high-frequency data ⋮ Efficient asymptotic variance reduction when estimating volatility in high frequency data ⋮ Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading ⋮ Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency ⋮ The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times ⋮ Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book ⋮ Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book ⋮ Change-point inference on volatility in noisy Itô semimartingales ⋮ Estimation for high-frequency data under parametric market microstructure noise ⋮ Econometrics of co-jumps in high-frequency data with noise ⋮ Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method

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