Arbeitspapier
Asymptotics of asynchronicity
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2011-033
- Klassifikation
-
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)
- Thema
-
non-synchronous observations
quadratic covariation
Hayashi-Yoshida estimator
stable limit theorem
asymptotic distribution
Schätztheorie
Korrelation
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bibinger, Markus
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bibinger, Markus
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2011
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