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SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/56738
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| Title: | | Asymptotics of asynchronicity  |
| Authors: | | Bibinger, Markus |
| Issue Date: | | 2011 |
| Series/Report no.: | | SFB 649 discussion paper 2011-033 |
| Abstract: | | 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. |
| Subjects: | | non-synchronous observations quadratic covariation Hayashi-Yoshida estimator stable limit theorem asymptotic distribution |
| JEL: | | C14 C32 C58 G10 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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