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

DOI10.1016/j.jmva.2013.05.002zbMath1293.62172OpenAlexW2132696906MaRDI QIDQ391800

Mathias Vetter, Kim Christensen, Mark Podolskij

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.05.002

zbMATH Keywords

central limit theorem stable convergence pre-averaging Hayashi-Yoshida estimator high frequency observations Itō semimartingale

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44)

Related Items

Inference for time-varying lead-lag relationships from ultra-high-frequency data, Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise, Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment, Asymptotic theory for large volatility matrix estimation based on high-frequency financial data, Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity, Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading, Estimation of the Hurst parameter in the simultaneous presence of jumps and noise, ETF basket-adjusted covariance estimation, BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE, Optimal covariance matrix estimation for high-dimensional noise in high-frequency data, Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data, Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency, Estimating the integrated volatility with tick observations, The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times, Positive semidefinite integrated covariance estimation, factorizations and asynchronicity, Efficient and positive semidefinite pre-averaging realized covariance estimator, Estimation of integrated quadratic covariation with endogenous sampling times, Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading, Glivenko-Cantelli theorems for integrated functionals of stochastic processes, Inference from high-frequency data: a subsampling approach, Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise, Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data, Time endogeneity and an optimal weight function in pre-averaging covariance estimation, Laws of large numbers for Hayashi-Yoshida-type functionals, The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling, Quasi-likelihood analysis for nonsynchronously observed diffusion processes, Functional stable limit theorems for quasi-efficient spectral covolatility estimators, Confidence interval for correlation estimator between latent processes, Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing, Econometrics of co-jumps in high-frequency data with noise

Cites Work