Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
We analyze the effects of nonsynchronicity and market microstructure noise on realized covariance type estimators. Hayashi and Yoshida (2005) propose a simple estimator that resolves the problem of nonsynchronicity and is unbiased and consistent for the integrated covariance in the absence of noise. When noise is present, however, we find that this estimator is biased, and show how the bias can be corrected for. Ultimately, we propose a subsampling version of the bias-corrected estimator which improves its efficiency. Empirically, we find that the usual assumption of a martingale price process plus an independently and identically distributed (i.i.d.) noise does not describe the dynamics of the observed price process across stocks, which confirms the practical relevance of our general noise specification and the estimation techniques we propose. Finally, a simulation experiment is carried out to complement the theoretical results. Copyright 2007, Oxford University Press.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 5 (2007)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK|
Fax: 01865 267 985
Web page: https://academic.oup.com/jfec
More information through EDIRC
|Order Information:||Web: http://www.oup.co.uk/journals|
When requesting a correction, please mention this item's handle: RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.