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Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
asynchronous observations co-jumps statistics of semimartingales quadratic covariation
2013/6/14
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 b...
Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
adaptive estimation asymptotic equivalence asynchronous ob-servations integrated covolatility matrix quadratic covariation semiparametric eciency,microstructure noise spectral estimation
2013/4/28
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high...