On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes.

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dc.contributor.authorChristensen, Kim
dc.contributor.authorPodolskij, Mark
dc.contributor.authorVetter, Mathias
dc.date.accessioned2011-12-06T11:50:12Z
dc.date.available2011-12-06T11:50:12Z
dc.date.issued2011-12-06
dc.description.abstractThis paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itˆo semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent nonsynchronous points. The estimator of the covariation matrix is designed via a certain combination of the local averages and the Hayashi-Yoshida estimator. Our method does not require any synchronization of the observation scheme (as e.g. previous tick method or refreshing time method) and it is robust to some dependence structure of the noise process. We show the associated central limit theorem for the proposed estimator and provide a feasible asymptotic result. Our proofs are based on a blocking technique and a stable convergence theorem for semimartingales. Finally, we show simulation results for the proposed estimator to illustrate its finite sample properties.en
dc.identifier.urihttp://hdl.handle.net/2003/29219
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-3069
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;50/2011
dc.subjectcentral limit theoremen
dc.subjectHayashi-Yoshida estimatoren
dc.subjecthigh frequency observationsen
dc.subjectItô semimartingaleen
dc.subjectpre-averagingen
dc.subjectstable convergenceen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleOn covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes.en
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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