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Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations

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  • Taro Kanatani

    ()
    (Institute of Economic Research, Kyoto University)

Abstract

In 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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File URL: http://www.kier.kyoto-u.ac.jp/DP/DP634.pdf
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Bibliographic Info

Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 634.

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Length: 19pages
Date of creation: Jun 2007
Date of revision:
Handle: RePEc:kyo:wpaper:634

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Related research

Keywords: High frequency data; Weighted realized covariance; Nonsynchronous (asynchronous) observation; Microstructure noise;

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  1. Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
  2. Maria Elvira Mancino & Paul Malliavin, 2002. "Fourier series method for measurement of multivariate volatilities," Finance and Stochastics, Springer, vol. 6(1), pages 49-61.
  3. Valeri Voev & Asger Lunde, 2007. "Integrated Covariance Estimation using High-frequency Data in the Presence of Noise," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 68-104.
  4. Taro Kanatani & Roberto Reno', 2007. "Unbiased covariance estimation with interpolated data," Department of Economics University of Siena 502, Department of Economics, University of Siena.
  5. Masato Ubukata & Kosuke Oya, 2007. "Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise," Discussion Papers in Economics and Business 07-03, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  6. Griffin, Jim E. & Oomen, Roel C.A., 2011. "Covariance measurement in the presence of non-synchronous trading and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 58-68, January.
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