Second-order asymptotic expansion for a non-synchronous covariation estimator

DOI10.1214/10-AIHP383zbMath1328.62511arXiv0804.0676MaRDI QIDQ720740

Arnak S. Dalalyan, Nakahiro Yoshida

Publication date: 11 October 2011

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.0676

zbMATH Keywords

diffusion processEdgeworth expansionasynchronous observationsPoisson samplingcovariation estimation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (8)

Edgeworth expansion for Euler approximation of continuous diffusion processes ⋮ Estimation of the realized (co-)volatility vector: large deviations approach ⋮ On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect ⋮ Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling ⋮ Limit distribution of the least square estimator with observations sampled at random times driven by standard Brownian motion ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Large and moderate deviations of realized covolatility ⋮ An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps

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