Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations
AbstractIn this paper, we provide a framework to evaluate finite sample MSE of several realized covariance estimators when using nonsynchronous observations contaminated with microstructure noise. This framework enables us to examine different estimators. We propose some estimators as an application of the framework.
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Bibliographic InfoPaper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 634.
Date of creation: Jun 2007
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More information through EDIRC
High frequency data; Weighted realized covariance; Nonsynchronous (asynchronous) observation; Microstructure noise;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-13 (All new papers)
- NEP-ECM-2007-07-13 (Econometrics)
- NEP-MST-2007-07-13 (Market Microstructure)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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