Large and moderate deviations of realized covolatility

In this note, we consider the large and moderate deviation principle of the estimators of the integrated covariance of two-dimensional diffusion processes when they are observed only at discrete times in a synchronous manner. The proof is extremely simple. It is essentially an application of the contraction principle for the results given in the case of the volatility by Djellout et al. (1999).

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Year of publication:	2014
Authors:	Djellout, Hacène ; Samoura, Yacouba
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 86.2014, C, p. 30-37
Publisher:	Elsevier
Subject:	Deviation inequalities \| Large and moderate deviation principle \| Diffusion \| Discrete-time observation \| Realized volatility

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040033