Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise

We analyze the effects of market microstructure noise on the Fourier estimator of multivariate volatilities. We prove that the estimator is consistent in the case of asynchronous data and robust in the presence of microstructure noise. This result is obtained through an analytical computation of the bias and the mean squared error of the Fourier estimator and con¯rmed by Monte Carlo experiments.

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Year of publication:	2008
Authors:	Sanfelici, S. ; Mancino, M. E.
Institutions:	Facoltà di Economia, Università degli Studi di Parma

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Extent:	application/pdf
Series:	Economics Department Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2008-ME01 40 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005248539