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Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing
Bibinger, Markus; Mykland, Per A. - 2013
weight functions. We also include the analysis for the Hayashi-Yoshida estimator in absence of microstructure. The theory …
Persistent link: https://www.econbiz.de/10010318742
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Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013
-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation …
Persistent link: https://www.econbiz.de/10010318777
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Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation …
Persistent link: https://www.econbiz.de/10010640724
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Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
Bibinger, Markus; Mykland, Per A. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
weight functions. We also include the analysis for the Hayashi-Yoshida estimator in absence of microstructure. The theory …
Persistent link: https://www.econbiz.de/10010603544
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Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Bibinger, Markus; Vetter, Mathias - 2013
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are generalized to the case of irregular observations. In the two-dimensional...
Persistent link: https://www.econbiz.de/10010318785
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Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Bibinger, Markus; Vetter, Mathias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are generalized to the case of irregular observations. In the two-dimensional...
Persistent link: https://www.econbiz.de/10010662687