On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect

DOI10.14490/jjss.47.75zbMath1395.62043arXiv1601.03614OpenAlexW2963772900MaRDI QIDQ4578217

Yuta Koike

Publication date: 8 August 2018

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.03614

zbMATH Keywords

asymptotic efficiencylocal asymptotic normalitymicrostructure noiseendogenous noiselead-lag effect

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Brownian motion (60J65)

Related Items (1)

Inference for time-varying lead-lag relationships from ultra-high-frequency data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
• Volatility estimation under one-sided errors with applications to limit order books
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
• Asymptotic equivalence for inference on the volatility from noisy observations
• On the limiting spectral distribution of the covariance matrices of time-lagged processes
• Integrated volatility and round-off error
• The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
• Second-order asymptotic expansion for a non-synchronous covariation estimator
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Asymptotic methods in statistical decision theory
• Parametric statistical theory: with the assistance of R. Hamböker
• Statistical inference for ergodic diffusion processes.
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
• Exact computation of the asymptotic efficiency of maximum likelihood estimators of a discontinuous signal in a Gaussian white noise
• Estimation of the lead-lag parameter from non-synchronous data
• Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
• Delay Estimation for Some Stationary Diffusion-type Processes
• Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data
• Matrix Analysis
• Asymptotic inference in stationary Gaussian time-series
• Diffusions with measurement errors. I. Local Asymptotic Normality
• Diffusions with measurement errors. II. Optimal estimators
• Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures
• Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
• Introduction to nonparametric estimation

This page was built for publication: On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect