Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps

dc.contributor.author	Bibinger, Markus
dc.contributor.author	Vetter, Mathias
dc.date.accessioned	2013-05-15T10:28:40Z
dc.date.available	2013-05-15T10:28:40Z
dc.date.issued	2013-05-15
dc.description.abstract	We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are generalized to the case of irregular observations. In the two-dimensional setup under non-synchronous observations, we derive a stable central limit theorem for the estimator by Hayashi and Yoshida (2005) in the presence of jumps. We reveal how idiosyncratic and simultaneous jumps affect the asymptotic distribution. Observation times generated by Poisson processes are explicitly discussed.	en
dc.identifier.uri	http://hdl.handle.net/2003/30317
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-5486
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;20/2013
dc.subject	asynchronous observations	en
dc.subject	co-jumps	en
dc.subject	quadratic covariation	en
dc.subject	statistics of semimartingales	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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