Time endogeneity and an optimal weight function in pre-averaging covariance estimation
Statistics Theory
2015-10-21 v3 Statistics Theory
Abstract
We establish a central limit theorem for a class of pre-averaging covariance estimators in a general endogenous time setting. In particular, we show that the time endogeneity has no impact on the asymptotic distribution if certain functionals of observation times are asymptotically well-defined. This contrasts with the case of the realized volatility in a pure diffusion setting. We also discuss an optimal choice of the weight function in the pre-averaging.
Cite
@article{arxiv.1403.7889,
title = {Time endogeneity and an optimal weight function in pre-averaging covariance estimation},
author = {Yuta Koike},
journal= {arXiv preprint arXiv:1403.7889},
year = {2015}
}
Comments
This is a revised version of arXiv: 1305.1229