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Asymptotics of Asynchronicity

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  • Markus Bibinger

Abstract

In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration based on an iterative synchronization algorithm. We consider high-frequency asymptotics and prove a feasible stable central limit theorem. The characteristics of non-synchronous observation schemes affecting the asymptotic variance are captured by a notion of asymptotic covariations of times. These are precisely illuminated and explicitly deduced for the important case of independent time-homogeneous Poisson sampling.

Suggested Citation

  • Markus Bibinger, 2011. "Asymptotics of Asynchronicity," SFB 649 Discussion Papers SFB649DP2011-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Handle: RePEc:hum:wpaper:sfb649dp2011-033
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    References listed on IDEAS

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    Cited by:

    1. 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.
    2. Markus Bibinger & Mathias Vetter, 2013. "Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps," SFB 649 Discussion Papers SFB649DP2013-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Markus Bibinger & Per A. Mykland, 2013. "Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing," SFB 649 Discussion Papers SFB649DP2013-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    More about this item

    Keywords

    non-synchronous observations; quadratic covariation; Hayashi-Yoshida estimator; stable limit theorem; asymptotic distribution;

    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; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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