Related papers: Asymptotics of Asynchronicity
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results by Jacod (2008) are generalized to the…
This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous It\^o semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent…
An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach…
This paper presents a central limit theorem for a pre-averaged version of the realized covariance estimator for the quadratic covariation of a discretely observed semimartingale with noise. The semimartingale possibly has jumps, while the…
We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner. The observation data is contaminated by some noise, which is possibly correlated with the returns of the diffusion…
In high-frequency statistics and econometrics sums of functionals of increments of stochastic processes are commonly used and statistical inference is based on the asymptotic behaviour of these sums as the mesh of the observation times…
We propose a new estimator for the integrated covariance of two Ito semimartingales observed at a high-frequency. This new estimator, which we call the pre-averaged truncated Hayashi-Yoshida estimator, enables us to separate the sum of the…
We consider two continuous It\^o semimartingales observed with noise and sampled at stopping times in a nonsynchronous manner. In this article we establish a central limit theorem for the pre-averaged Hayashi-Yoshida estimator of their…
We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a new result about the moderate deviations principle for…
In this paper, we consider the problem of estimating the covariation of two diffusion processes when observations are subject to non-synchronicity. Building on recent papers \cite{Hay-Yos03, Hay-Yos04}, we derive second-order asymptotic…
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic…
When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on the relationship between the prices process and the…
This paper proposes a novel test for simultaneous jumps in a bivariate It\^o semimartingale when observation times are asynchronous and irregular. Inference is built on a realized correlation coefficient for the jumps of the two processes…
The estimation of the covariance structure from a discretely observed multivariate Gaussian process under asynchronicity and noise is analysed under high-frequency asymptotics. Asymptotic lower and upper bounds are established for a general…
We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…
We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is…
We consider noisy non-synchronous discrete observations of a continuous semimartingale with random volatility. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: one-dimensional for…
We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…
We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an…
Kimura and Yoshida treated a model in which the finite variation part of a two-dimensional semimartingale is expressed by time-integration of latent processes. They proposed a correlation estimator between the latent processes and proved…