Estimation of integrated quadratic covariation with endogenous sampling times

Yoann Potiron, Per A. Mykland

研究成果: Article査読

6 被引用数 (Scopus)

抄録

When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on the relationship between the prices process and the observation times. In this paper, we introduce a general endogenous two-dimensional nonparametric model. Because an observation is generated whenever an auxiliary process called observation time process hits one of the two boundary processes, it is called the hitting boundary process with time process (HBT) model. We establish a central limit theorem for the Hayashi–Yoshida (HY) estimator under HBT in the case where the price process and the observation price process follow a continuous Itô process. We obtain an asymptotic bias. We provide an estimator of the latter as well as a bias-corrected HY estimator of the high-frequency covariance. In addition, we give a consistent estimator of the associated standard error.

本文言語English
ページ(範囲)20-41
ページ数22
ジャーナルJournal of Econometrics
197
1
DOI
出版ステータスPublished - 2017 3 1

ASJC Scopus subject areas

  • 経済学、計量経済学

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