Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
AbstractWe 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.
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2013-029.
Length: 31 pages
Date of creation: May 2013
Date of revision:
asynchronous observations; co-jumps; statistics of semimartingales; quadratic covariation;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-09 (All new papers)
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