Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79623
Authors: 
Bibinger, Markus
Vetter, Mathias
Year of Publication: 
2013
Series/Report no.: 
SFB 649 Discussion Paper 2013-029
Abstract: 
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are generalized to the case of irregular observations. In the two-dimensional setup under non-synchronous observations, we derive a stable central limit theorem for the estimator by Hayashi and Yoshida (2005) in the presence of jumps. We reveal how idiosyncratic and simultaneous jumps affect the asymptotic distribution. Observation times generated by Poisson processes are explicitly discussed.
Subjects: 
asynchronous observations
co-jumps
statistics of semimartingales
quadratic covariation
JEL: 
G10
C14
Document Type: 
Working Paper

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