Estimating Covariance 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 confirmed by Monte Carlo experiments

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Year of publication:	[2013]
Authors:	Mancino, Maria Elvira
Other Persons:	Sanfelici, Simona (contributor)
Publisher:	[2013]: [S.l.] : SSRN

Extent:	1 Online-Ressource (42 p)
Type of publication:	Book / Working Paper
Notes:	In: J. Financial Econometrics, 9(2) (2011), 367-408 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2011 erstellt
Other identifiers:	10.2139/ssrn.1296564 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012710924