Arbeitspapier
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time observation model where a local generalised method of moments in the spectral domain turns out to be optimal. Asymptotic semiparametric efficiency is established in the Cramér-Rao sense. Main findings are that non-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation. Simulations illustrate the finite-sample behaviour.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2013-017
- 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
-
adaptive estimation
asymptotic equivalence
asynchronous observations
integrated covolatility matrix
quadratic covariation
semiparametric efficiency
microstructure noise
spectral estimation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bibinger, Markus
Hautsch, Nikolaus
Malec, Peter
Reiss, Markus
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bibinger, Markus
- Hautsch, Nikolaus
- Malec, Peter
- Reiss, Markus
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2013
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