Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations
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.
|Date of creation:||Jun 2007|
|Date of revision:|
|Contact details of provider:|| Postal: Yoshida-Honmachi, Sakyo-ku, Kyoto 606-8501|
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics," Econometrica, Econometric Society, vol. 72(3), pages 885-925, 05.
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NBER Working Papers
8160, National Bureau of Economic Research, Inc.
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- 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.
- Taro Kanatani & Roberto Reno', 2007. "Unbiased covariance estimation with interpolated data," Department of Economics University of Siena 502, Department of Economics, University of Siena.
- Maria Elvira Mancino & Paul Malliavin, 2002. "Fourier series method for measurement of multivariate volatilities," Finance and Stochastics, Springer, vol. 6(1), pages 49-61.
- 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).
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