Functional stable limit theorems for quasi-efficient spectral covolatility estimators

DOI10.1016/J.SPA.2015.07.009zbMATH Open1327.62188arXiv1401.2272OpenAlexW2241098751MaRDI QIDQ744976FDOQ744976

Authors: Randolf Altmeyer, Markus Bibinger 

Publication date: 12 October 2015

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

Abstract: We consider noisy non-synchronous discrete observations of a continuous semimartingale with random volatility. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: one-dimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous observations for a bivariate spectral covolatility estimator and multivariate for a local method of moments. The results demonstrate that local adaptivity and smoothing noise dilution in the Fourier domain facilitate substantial efficiency gains compared to previous approaches. In particular, the derived asymptotic variances coincide with the benchmarks of semiparametric Cram'er-Rao lower bounds and the considered estimators are thus asymptotically efficient in idealized sub-experiments. Feasible central limit theorems allowing for confidence are provided.

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

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zbMATH Keywords

asymptotic efficiencymicrostructure noiseadaptive estimationnon-synchronous observationsintegrated volatilitylocal parametric estimation

Mathematics Subject Classification ID

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

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Cited In (14)

• Local Parametric Estimation in High Frequency Data
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
• Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
• Efficient asymptotic variance reduction when estimating volatility in high frequency data
• Change-point inference on volatility in noisy Itô semimartingales
• Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
• Common price and volatility jumps in noisy high-frequency data
• 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
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading

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