On covariance estimation for high-frequency financial data

Takaki Hayashi, Nakahiro Yoshida

研究成果: Conference contribution

1 引用 (Scopus)

抄録

We consider the problem of estimating the covariance/correlation of two diffusion prices that are observed at discrete times in a nonsynchronous manner. The modem, popular approach in the literature, "realized" estimator, which is based on the sum of cross-products of intra-day log-price changes measured on regularly-spaced intervals over a day, is problematic because choice of regular interval size and data interpolation scheme may lead to unreliable estimation. We present a new estimation procedure recently proposed by [1], which is free of such "synchronization" of data, hence, free from biases or other problems caused by it. In particular, our estimators are shown to have consistency as the observation frequency (or the market liquidity) tends to infinity, which is not possessed by the realized estimators.

元の言語English
ホスト出版物のタイトルProceedings of the Second IASTED International Conference on Financial Engineering and Applications
編集者M.H. Hamza
ページ282-286
ページ数5
出版物ステータスPublished - 2004
外部発表Yes
イベントProceedings of the Second IASTED International Conference on Financial Engineering and Applications - Cambridge, MA, United States
継続期間: 2004 11 82004 11 10

Other

OtherProceedings of the Second IASTED International Conference on Financial Engineering and Applications
United States
Cambridge, MA
期間04/11/804/11/10

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Modems
Interpolation
Synchronization

ASJC Scopus subject areas

  • Engineering(all)

これを引用

Hayashi, T., & Yoshida, N. (2004). On covariance estimation for high-frequency financial data. : M. H. Hamza (版), Proceedings of the Second IASTED International Conference on Financial Engineering and Applications (pp. 282-286). [437-801]

On covariance estimation for high-frequency financial data. / Hayashi, Takaki; Yoshida, Nakahiro.

Proceedings of the Second IASTED International Conference on Financial Engineering and Applications. 版 / M.H. Hamza. 2004. p. 282-286 437-801.

研究成果: Conference contribution

Hayashi, T & Yoshida, N 2004, On covariance estimation for high-frequency financial data. : MH Hamza (版), Proceedings of the Second IASTED International Conference on Financial Engineering and Applications., 437-801, pp. 282-286, Proceedings of the Second IASTED International Conference on Financial Engineering and Applications, Cambridge, MA, United States, 04/11/8.
Hayashi T, Yoshida N. On covariance estimation for high-frequency financial data. : Hamza MH, 編集者, Proceedings of the Second IASTED International Conference on Financial Engineering and Applications. 2004. p. 282-286. 437-801
Hayashi, Takaki ; Yoshida, Nakahiro. / On covariance estimation for high-frequency financial data. Proceedings of the Second IASTED International Conference on Financial Engineering and Applications. 編集者 / M.H. Hamza. 2004. pp. 282-286
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