2014-01-13Buch DOI: 10.18452/4492
Functional stable limit theorems for efficient spectral covolatility estimators
We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous observations for a bivariate spectral covolatility estimator and multivariate for a local method of moments. The results demonstrate that local adaptivity and smoothing noise dilution in the Fourier domain facilitate substantial efficiency gains compared to previous approaches. In particular, the derived asymptotic variances coincide with the benchmarks of semiparametric Cram´er-Rao lower bounds and the considered estimators are thus asymptotically efficient in idealized sub-experiments. Feasible central limit theorems allowing for confidence are provided.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 5, SFB 649 Papers, ISSN:1860-5664