Consistent estimation of covariation under nonsynchronicity

DOI10.1007/s11203-007-9009-9zbMath1148.62070OpenAlexW2070099590MaRDI QIDQ946288

Takaki Hayashi, Shigeo Kusuoka

Publication date: 22 September 2008

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-007-9009-9

zbMATH Keywords

consistencysemimartingalesstopping timehigh-frequency dataquadratic variationrealized covariancenonsynchronous tradingdiscrete-time sampling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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