2011-06-10Buch DOI: 10.18452/4323
Asymptotics of Asynchronicity
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 based on an iterative synchronization algorithm. We consider high-frequency asymptotics and prove a feasible stable central limit theorem. The characteristics of non-synchronous observation schemes affecting the asymptotic variance are captured by a notion of asymptotic covariations of times. These are precisely illuminated and explicitly deduced for the important case of independent time-homogeneous Poisson sampling.
Dateien zu dieser Publikation
Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 33, SFB 649 Papers, ISSN:1860-5664