Narrow search
Showing 1 - 7 of 7
Cover Image
Functional stable limit theorems for efficient spectral covolatility estimators
Altmeyer, Randolf; Bibinger, Markus - 2014
We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous...
Persistent link: https://www.econbiz.de/10010230564
Cover Image
Asymptotics of asynchronicity
Bibinger, Markus - 2011
and explicitly deduced for the important case of independent time-homogeneous Poisson sampling. …
Persistent link: https://www.econbiz.de/10010281581
Cover Image
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus - 2011
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô … on convenient regularity assumptions. The inevitably remaining impact of asynchronous deterministic sampling schemes and …, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in …
Persistent link: https://www.econbiz.de/10010281599
Cover Image
Functional stable limit theorems for efficient spectral covolatility estimators
Altmeyer, Randolf; Bibinger, Markus - 2014
We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous...
Persistent link: https://www.econbiz.de/10010331125
Cover Image
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô … on convenient regularity assumptions. The inevitably remaining impact of asynchronous deterministic sampling schemes and …, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in …
Persistent link: https://www.econbiz.de/10009644466
Cover Image
Asymptotics of Asynchronicity
Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
and explicitly deduced for the important case of independent time-homogeneous Poisson sampling. …
Persistent link: https://www.econbiz.de/10009644467
Cover Image
Functional stable limit theorems for efficient spectral covolatility estimators
Altmeyer, Randolf; Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous...
Persistent link: https://www.econbiz.de/10011277279