Showing 1 - 8 of 8
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...
Persistent link: https://www.econbiz.de/10010318777
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are …
Persistent link: https://www.econbiz.de/10010318785
We establish estimation methods to determine co-jumps in multivariate high-frequency data with nonsynchronous …-jump and continuous part in quadratic covariation. Our estimation procedure implicitly renders spot (co-)variance estimators …
Persistent link: https://www.econbiz.de/10010330968
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...
Persistent link: https://www.econbiz.de/10010281581
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...
Persistent link: https://www.econbiz.de/10009644467
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...
Persistent link: https://www.econbiz.de/10010640724
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are …
Persistent link: https://www.econbiz.de/10010662687
We establish estimation methods to determine co-jumps in multivariate high-frequency data with nonsynchronous …-jump and continuous part in quadratic covariation. Our estimation procedure implicitly renders spot (co-)variance estimators …
Persistent link: https://www.econbiz.de/10011277288