Arbeitspapier
Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing
We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to be asynchronous. The central limit theorem is shown to have a feasible version. In the process, we show that the classes of multi-scale and kernel estimators for smoothing noise perturbation are asymptotically equivalent in the sense of having the same asymptotic distribution for corresponding kernel and weight functions. We also include the analysis for the Hayashi-Yoshida estimator in absence of microstructure. The theory leads to multi-dimensional stable central limit theorems for respective estimators and hence allows to draw statistical inference for a broad class of multivariate models and linear functions of the recorded components. This paves the way to tests and confidence intervals in risk measurement for arbitrary portfolios composed of high-frequently observed assets. As an application, we enhance the approach to cover more complex functions and in order to construct a test for investigating hypotheses that correlated assets are independent conditional on a common factor.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2013-006
- Classification
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Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Econometrics
General Financial Markets: General (includes Measurement and Data)
- Subject
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asymptotic distribution theory
asynchronous observations
conditional independence
high-frequency data
microstructure noise
multivariate limit theorems
- Event
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Geistige Schöpfung
- (who)
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Bibinger, Markus
Mykland, Per A.
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
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Berlin
- (when)
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2013
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bibinger, Markus
- Mykland, Per A.
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2013
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