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Title:Asymptotics of asynchronicity PDF Logo
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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