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2013-04-25Buch DOI: 10.18452/4457
Estimating the Quadratic Covariation Matrix from Noisy Observations
dc.contributor.authorBibinger, Markus
dc.contributor.authorHautsch, Nikolaus
dc.contributor.authorMalec, Peter
dc.contributor.authorReiss, Markus
dc.date.accessioned2017-06-16T00:49:50Z
dc.date.available2017-06-16T00:49:50Z
dc.date.created2013-07-11
dc.date.issued2013-04-25
dc.date.submitted2013-04-25
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5109
dc.description.abstractAn efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time observation model where a local generalised method of moments in the spectral domain turns out to be optimal. Asymptotic semiparametric efficiency is established in the Cramér-Rao sense. Main findings are that non-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation. Simulations illustrate the finite-sample behaviour.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectadaptive estimationeng
dc.subjectquadratic covariationeng
dc.subjectmicrostructure noiseeng
dc.subjectasymptotic equivalenceeng
dc.subjectasynchronous observationseng
dc.subjectintegrated covolatility matrixeng
dc.subjectsemiparametric efficiencyeng
dc.subjectspectral estimationeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleEstimating the Quadratic Covariation Matrix from Noisy Observations
dc.typebook
dc.subtitleLocal Method of Moments and Efficiency
dc.identifier.urnurn:nbn:de:kobv:11-100210950
dc.identifier.doihttp://dx.doi.org/10.18452/4457
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages40
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2013
local.edoc.container-issue17
local.edoc.container-year2013
local.edoc.container-erstkatid2195055-6

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