Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency

DOI10.1214/14-AOS1224zbMath1302.62190arXiv1303.6146MaRDI QIDQ464183

Nikolaus Hautsch, Peter Malec, Markus Bibinger, Markus Reiss

Publication date: 17 October 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.6146

zbMATH Keywords

high-frequency data semiparametric efficiency asynchronous observations asymptotic equivalence microstructure noise integrated covolatility matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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