For estimating the integrated volatility and covariance by using high frequency financial data, we propose the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises. The resulting estimator, which is represented as a specific quadratic form of...

A jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns is proposed. It disentangles covariance estimation into variance and correlation components. This allows us to account for non-synchronous trading by estimating...

The cumulative covariance estimator in Hayashi and Yoshida (2005) which suits for non-synchronous observations possibly has a bias in the presence of the observational noise. We propose the test statistic to detect whether the observational noise causes a measurable bias in the estimator of...

The cumulative covariance estimator in Hayashi and Yoshida (2005b) which suits for non-synchronous observations possibly has a bias in the presence of the observational noise. We propose the test statistic to detect whether the observational noise causes a measurable bias in the estimator of...