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Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

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  • Takaki Hayashi

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  • Nakahiro Yoshida

    ()

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Suggested Citation

  • Takaki Hayashi & Nakahiro Yoshida, 2008. "Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 60(2), pages 367-406, June.
  • Handle: RePEc:spr:aistmt:v:60:y:2008:i:2:p:367-406
    DOI: 10.1007/s10463-007-0138-0
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    References listed on IDEAS

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    1. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
    2. Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005. "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December.
    3. Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
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    Citations

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    Cited by:

    1. Potiron, Yoann & Mykland, Per A., 2017. "Estimation of integrated quadratic covariation with endogenous sampling times," Journal of Econometrics, Elsevier, vol. 197(1), pages 20-41.
    2. Naoto Kunitomo & Hiroumi Misaki & Seisho Sato, 2015. "The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 333-368, September.
    3. Zhi Liu, 2016. "Estimating integrated co-volatility with partially miss-ordered high frequency data," Statistical Inference for Stochastic Processes, Springer, vol. 19(2), pages 175-197, July.
    4. Markus Bibinger & Mathias Vetter, 2015. "Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 707-743, August.
    5. Clément, Emmanuelle & Gloter, Arnaud, 2011. "Limit theorems in the Fourier transform method for the estimation of multivariate volatility," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1097-1124, May.
    6. Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Journal of Econometrics, Elsevier, vol. 159(1), pages 116-133, November.
    7. Koike, Yuta, 2014. "Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2699-2753.
    8. Takaki Hayashi & Yuta Koike, 2017. "Multi-scale analysis of lead-lag relationships in high-frequency financial markets," Papers 1708.03992, arXiv.org, revised Feb 2018.
    9. Wang, Kent & Liu, Junwei & Liu, Zhi, 2013. "Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1777-1786.
    10. Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
    11. Yuta Koike, 2014. "An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 460-481, June.
    12. Misaki, Hiroumi & Kunitomo, Naoto, 2015. "On robust properties of the SIML estimation of volatility under micro-market noise and random sampling," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 265-281.
    13. Raddant, Matthias & Kenett, Dror, 2016. "Interconnectedness in the global financial market," Annual Conference 2016 (Augsburg): Demographic Change 145560, Verein für Socialpolitik / German Economic Association.
    14. Hayashi, Takaki & Yoshida, Nakahiro, 2011. "Nonsynchronous covariation process and limit theorems," Stochastic Processes and their Applications, Elsevier, vol. 121(10), pages 2416-2454, October.
    15. Zhi Liu, 2017. "Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations," Finance and Stochastics, Springer, vol. 21(2), pages 427-469, April.
    16. 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.
    17. Simon Clinet & Yoann Potiron, 2017. "Estimation for high-frequency data under parametric market microstructure noise," Papers 1712.01479, arXiv.org.
    18. Park, Sujin & Hong, Seok Young & Linton, Oliver, 2016. "Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error," Journal of Econometrics, Elsevier, vol. 191(2), pages 325-347.
    19. Naoto Kunitomo & Hiroumi Misaki & Seisho Sato, 2015. "The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling," CIRJE F-Series CIRJE-F-965, CIRJE, Faculty of Economics, University of Tokyo.
    20. repec:wyi:journl:002184 is not listed on IDEAS
    21. Ogihara, Teppei & Yoshida, Nakahiro, 2014. "Quasi-likelihood analysis for nonsynchronously observed diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2954-3008.
    22. Bibinger, Markus, 2012. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2411-2453.

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