Search Results - subject:"integrated covariance"

Convergence rate of the Truncated Realized Covariance when prices have infinite variation jumps.

Mancini, Cecilia - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2014

In this paper we consider two processes driven by Brownian motions plus drift and jumps with infinite activity. Given discrete observations on a finite time horizon, we study the truncated (threshold) realized covariance \hat{IC} to estimate the integrated covariation IC between the two Brownian...

Persistent link: https://www.econbiz.de/10010816298

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Boudt, Kris; Laurent, Sébastien; Lunde, Asger; … - School of Economics and Management, University of Aarhus - 2014

An estimator of the ex-post covariation of log-prices under asynchronicity and microstructure noise is proposed. It uses the Cholesky factorization on the correlation matrix in order to exploit the heterogeneity in trading intensity to estimate the different parameters sequentially with as many...

Persistent link: https://www.econbiz.de/10010851233

Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading

Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2014

integrated covariance matrix estimators. In particular, we first adapt the wild blocks of blocks bootstrap method suggested for … existing variance estimators of the integrated covariance estimator. As an application of our results, we also consider the …

Persistent link: https://www.econbiz.de/10010937808

Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling

Koike, Yuta - Institute of Economic Research, Hitotsubashi University - 2013

We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner …

Persistent link: https://www.econbiz.de/10010614067

A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data

Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257

Persistent link: https://www.econbiz.de/10012110378

Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

Boudt, Kris; Laurent, Sébastien; Lunde, Asger; … - In: Journal of econometrics 196 (2017) 2, pp. 347-367

Persistent link: https://www.econbiz.de/10011818308

Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading

Hounyo, Ulrich - In: Journal of econometrics 197 (2017) 1, pp. 130-152

Persistent link: https://www.econbiz.de/10011818349

The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling

Kunitomo, Naoto; Misaki, Hiroumi; Sato, Seisho - In: Asia-Pacific financial markets 22 (2015) 3, pp. 333-368

Persistent link: https://www.econbiz.de/10011524812

A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data

Liu, Cheng; Tang, Cheng Yong - In: Journal of Econometrics 180 (2014) 2, pp. 217-232

Estimating the integrated covariance matrix (ICM) from high frequency financial trading data is crucial to reflect the …

Persistent link: https://www.econbiz.de/10010776916

Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling

Koike, Yuta - In: Stochastic Processes and their Applications 124 (2014) 8, pp. 2699-2753

We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner …

Persistent link: https://www.econbiz.de/10010875062