Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56757
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dc.contributor.authorBibinger, Markusen_US
dc.date.accessioned2011-06-15en_US
dc.date.accessioned2012-04-05T16:21:55Z-
dc.date.available2012-04-05T16:21:55Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56757-
dc.description.abstractThe article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate on convenient regularity assumptions. The inevitably remaining impact of asynchronous deterministic sampling schemes and noise corruption on the asymptotic distribution is precisely elucidated. A case study for various important examples, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in applications.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk |cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper |x2011-034en_US
dc.subject.jelC14en_US
dc.subject.jelC32en_US
dc.subject.jelC58en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordnon-synchronous observationsen_US
dc.subject.keywordmicrostructure noiseen_US
dc.subject.keywordintegrated covolatilityen_US
dc.subject.keywordmultiscale estimatoren_US
dc.subject.keywordstable limit theoremen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwKorrelationen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwTheorieen_US
dc.titleAn estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theoryen_US
dc.typeWorking Paperen_US
dc.identifier.ppn662163486en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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