Logo of Humboldt-Universität zu BerlinLogo of Humboldt-Universität zu Berlin
edoc-Server
Open-Access-Publikationsserver der Humboldt-Universität
de|en
Header image: facade of Humboldt-Universität zu Berlin
View Item 
  • edoc-Server Home
  • Schriftenreihen und Sammelbände
  • Fakultäten und Institute der HU
  • Wirtschaftswissenschaftliche Fakultät
  • Sonderforschungsbereich 649: Ökonomisches Risiko
  • View Item
  • edoc-Server Home
  • Schriftenreihen und Sammelbände
  • Fakultäten und Institute der HU
  • Wirtschaftswissenschaftliche Fakultät
  • Sonderforschungsbereich 649: Ökonomisches Risiko
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
View Item 
  • edoc-Server Home
  • Schriftenreihen und Sammelbände
  • Fakultäten und Institute der HU
  • Wirtschaftswissenschaftliche Fakultät
  • Sonderforschungsbereich 649: Ökonomisches Risiko
  • View Item
  • edoc-Server Home
  • Schriftenreihen und Sammelbände
  • Fakultäten und Institute der HU
  • Wirtschaftswissenschaftliche Fakultät
  • Sonderforschungsbereich 649: Ökonomisches Risiko
  • View Item
2011-06-10Buch DOI: 10.18452/4323
Asymptotics of Asynchronicity
Bibinger, Markus
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.
Files in this item
Thumbnail
33.pdf — Adobe PDF — 1.208 Mb
MD5: 52d316d20bf0de1f1498eb79a1b2f8c8
Cite
BibTeX
EndNote
RIS
InCopyright
Details
DINI-Zertifikat 2019OpenAIRE validatedORCID Consortium
Imprint Policy Contact Data Privacy Statement
A service of University Library and Computer and Media Service
© Humboldt-Universität zu Berlin
 
DOI
10.18452/4323
Permanent URL
https://doi.org/10.18452/4323
HTML
<a href="https://doi.org/10.18452/4323">https://doi.org/10.18452/4323</a>