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dc.contributor.authorBibinger, Markusen
dc.date.accessioned2011-06-15-
dc.date.accessioned2012-04-05T16:21:55Z-
dc.date.available2012-04-05T16:21:55Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-034en
dc.subject.jelC14en
dc.subject.jelC32en
dc.subject.jelC58en
dc.subject.jelG10en
dc.subject.ddc330en
dc.subject.keywordnon-synchronous observationsen
dc.subject.keywordmicrostructure noiseen
dc.subject.keywordintegrated covolatilityen
dc.subject.keywordmultiscale estimatoren
dc.subject.keywordstable limit theoremen
dc.subject.stwSchätztheorieen
dc.subject.stwKorrelationen
dc.subject.stwStochastischer Prozessen
dc.subject.stwTheorieen
dc.titleAn estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory-
dc.typeWorking Paperen
dc.identifier.ppn662163486en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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