Arbeitspapier
Functional stable limit theorems for efficient spectral covolatility estimators
We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous observations for a bivariate spectral covolatility estimator and multivariate for a local method of moments. The results demonstrate that local adaptivity and smoothing noise dilution in the Fourier domain facilitate substantial efficiency gains compared to previous approaches. In particular, the derived asymptotic variances coincide with the benchmarks of semiparametric Cram'er-Rao lower bounds and the considered estimators are thus asymptotically efficient in idealized sub-experiments. Feasible central limit theorems allowing for confidence are provided.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2014-005
- 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
- Thema
-
adaptive estimation
asymptotic efficiency
local parametric estimation
microstructure noise
integrated volatility
non-synchronous observations
spectral estimation
stable limit theorem
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Altmeyer, Randolf
Bibinger, Markus
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
- 10.03.2025, 10:44 UTC
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Altmeyer, Randolf
- Bibinger, Markus
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2014
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