Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

DOI10.1007/s10463-007-0138-0zbMath1332.62284OpenAlexW2093791046MaRDI QIDQ1019457

Takaki Hayashi, Nakahiro Yoshida

Publication date: 2 June 2009

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-007-0138-0

zbMATH Keywords

diffusionsdiscrete-time observationshigh-frequency dataquadratic variationrealized volatilitynonsynchronicity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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Cites Work

• Unnamed Item
• On covariance estimation of non-synchronously observed diffusion processes
• Estimation of the coefficients of a diffusion from discrete observations
• The Distribution of Realized Exchange Rate Volatility
• A Tale of Two Time Scales

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