Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56738
Authors: 
Bibinger, Markus
Year of Publication: 
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

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.