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A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors

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  • Seisho Sato

    (The Institute of Statistical Mathematics)

  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo)

Abstract

For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a, b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable asymptotic properties; it is consistent and it has the asymptotic normality (or the stable convergence in the general case) when the sample size is large under general conditions with non-Gaussian processes or volatility models. We show that the SIML estimator has the robustness properties in the sense that it is consistent and has the asymptotic normality when there are micro-market (non-liner) adjustments and the round-off errors on the underlying stochastic processes.

Suggested Citation

  • Seisho Sato & Naoto Kunitomo, 2011. "A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors," CIRJE F-Series CIRJE-F-803, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2011cf803
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2011/2011cf803.pdf
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    Cited by:

    1. Yuta Koike, 2013. "Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling," Global COE Hi-Stat Discussion Paper Series gd12-276, Institute of Economic Research, Hitotsubashi University.

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