Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56757
Authors: 
Bibinger, Markus
Year of Publication: 
2011
Series/Report no.: 
SFB 649 discussion paper 2011-034
Abstract: 
The 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.
Subjects: 
non-synchronous observations
microstructure noise
integrated covolatility
multiscale estimator
stable limit theorem
JEL: 
C14
C32
C58
G10
Document Type: 
Working Paper

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