Showing 1 - 10 of 173
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...
Persistent link: https://www.econbiz.de/10010958809
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...
Persistent link: https://www.econbiz.de/10008490350
This article contributes to the theory for preaveraging estimators of the daily quadratic variation of asset prices and provides novel empirical evidence. We develop asymptotic theory for preaveraging estimators in the case of autocorrelated microstructure noise and propose an explicit test for...
Persistent link: https://www.econbiz.de/10010710916
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010958683
In this paper we present the asymptotic theory for spectral distributions of high dimensional covariation matrices of Brownian diffusions. More specifically, we consider N-dimensional Itô integrals with time varying matrix-valued integrands. We observe n equidistant high frequency data points...
Persistent link: https://www.econbiz.de/10011098644
In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary (BSS) processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS process, may lead to non-standard limits of the...
Persistent link: https://www.econbiz.de/10011098645
In this paper we present a survey on recent developments in the study of ambit fields and point out some open problems. Ambit fields is a class of spatio-temporal stochastic processes, which by its general structure constitutes a exible model for dynamical structures in time and/or in space. We...
Persistent link: https://www.econbiz.de/10011098646
In this paper, we present a test for the maximal rank of the volatility process in continuous diffusion models observed with noise. Such models are typically applied in mathematical finance, where latent price processes are corrupted by microstructure noise at ultra high frequencies. Using high...
Persistent link: https://www.econbiz.de/10011098647
In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary (BSS) processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS process, may lead to non-standard limits of the...
Persistent link: https://www.econbiz.de/10011194111
The estimation of local characteristics of Itô semimartingales has received a great deal of attention in both academia and industry over the past decades. In various papers limit theorems were derived for functionals of increments and ranges in the infill asymptotics setting. In this paper we...
Persistent link: https://www.econbiz.de/10011194136