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Confidence interval for correlation estimator between latent processes (Q2303484)

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Language	Label	Description	Also known as
English	Confidence interval for correlation estimator between latent processes	scientific article

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scholarly article

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Confidence interval for correlation estimator between latent processes (English)

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Akitoshi Kimura

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Japanese Journal of Statistics and Data Science

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publication date

4 March 2020

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full work available at URL

https://arxiv.org/abs/1710.06683

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zbMATH Keywords

confidence interval

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correlation estimator

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latent processes

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correlated Itô processes

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MaRDI profile type

MaRDI publication profile

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Algorithmic trading in a microstructural limit order book model

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A MATHEMATICAL APPROACH TO ORDER BOOK MODELING

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Long-Time Behavior of a Hawkes Process--Based Limit Order Book

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High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

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Modelling microstructure noise with mutually exciting point processes

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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data

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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory

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Modelling security market events in continuous time: intensity based, multivariate point process models

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Modeling high-frequency non-homogeneous order flows by compound Cox processes

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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

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On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes

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Statistical inference for ergodic point processes and application to limit order book

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A Stochastic Model for Order Book Dynamics

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Covariance measurement in the presence of non-synchronous trading and market microstructure noise

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Optimal high-frequency trading with limit and market orders

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Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

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Nonsynchronous covariation process and limit theorems

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On covariance estimation of non-synchronously observed diffusion processes

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Microstructure noise in the continuous case: the pre-averaging approach

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Estimation of Correlation Between Latent Processes

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

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Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling

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Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes

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Fourier series method for measurement of multivariate volatilities

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A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics

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A Fourier transform method for nonparametric estimation of multivariate volatility

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STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL

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Modelling intensities of order flows in a limit order book

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A Gaussian calculus for inference from high frequency data

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Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

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Statistical theory of the continuous double auction

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The order book as a queueing system: average depth and influence of the size of limit orders

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A Tale of Two Time Scales

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Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

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Identifiers

zbMATH Open document ID

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10.1007/s42081-019-00036-0

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2303484

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