Related papers: Cointegration in high frequency data
We price and replicate a variety of claims written on the log price $X$ and quadratic variation $[X]$ of a risky asset, modeled as a positive semimartingale, subject to stochastic volatility and jumps. The pricing and hedging formulas do…
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…
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…
We develop cointegration for multivariate continuous-time stochastic processes, both in finite and infinite dimension. Our definition and analysis are based on factor processes and operators mapping to the space of prices and cointegration.…
A factor copula model is proposed in which factors are either simulable or estimable from exogenous information. Point estimation and inference are based on a simulated methods of moments (SMM) approach with non-overlapping simulation…
For a set of dependent random variables, without stationary or the strong mixing assumptions, we derive the asymptotic independence between their sums and maxima. Then we apply this result to high-dimensional testing problems, where we…
We develop monitoring procedures for cointegrating regressions, testing the null of no breaks against the alternatives that there is either a change in the slope, or a change to non-cointegration. After observing the regression for a…
We study the convergence rate of discretized Riemannian Hamiltonian Monte Carlo on sampling from distributions in the form of $e^{-f(x)}$ on a convex body $\mathcal{M}\subset\mathbb{R}^{n}$. We show that for distributions in the form of…
This paper introduces a quasi-likelihood ratio testing procedure for diffusion processes observed under nonsynchronous sampling schemes. High-frequency data, particularly in financial econometrics, are often recorded at irregular time…
This paper focuses on the task of detecting local episodes involving violation of the standard It\^o semimartingale assumption for financial asset prices in real time that might induce arbitrage opportunities. Our proposed detectors,…
This work is concerned with tests on structural breaks in the spot volatility process of a general It\^o semimartingale based on discrete observations contaminated with i.i.d. microstructure noise. We construct a consistent test building up…
Meta-analysis combines results from multiple studies aiming to increase power in finding their common effect. It would typically reject the null hypothesis of no effect if any one of the studies shows strong significance. The partial…
The modeling of dependence between maxima is an important subject in several applications in risk analysis. To this aim, the extreme value copula function, characterised via the madogram, can be used as a margin-free description of the…
Given observations from a stationary time series, permutation tests allow one to construct exactly level $\alpha$ tests under the null hypothesis of an i.i.d. (or, more generally, exchangeable) distribution. On the other hand, when the null…
Random walkers absorbing on a boundary sample the Harmonic Measure linearly and independently: we discuss how the recurrence times between impacts enable non-linear moments of the measure to be estimated. From this we derive a new technique…
The problem of detecting changes in covariance for a single pair of features has been studied in some detail, but may be limited in importance or general applicability. In contrast, testing equality of covariance matrices of a {\it set} of…
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a discrete time homogeneous semi-Markov process and the…
This paper is concerned with tests for changes in the jump behaviour of a time-continuous process. Based on results on weak convergence of a sequential empirical tail integral process, asymptotics of certain tests statistics for breaks in…
It has been known since Elliott (1998) that standard methods of inference on cointegrating relationships break down entirely when autoregressive roots are near but not exactly equal to unity. We consider this problem within the framework of…
The estimation of local characteristics of Ito semimartingales has received a great deal of attention in both academia and industry over the past decades. In various papers limit theorems were derived for functionals of increments and…