Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Park, Sujin & Linton, Oliver, 2012. "Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise," LSE Research Online Documents on Economics 119050, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
- Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2009.
"Microstructure noise in the continuous case: The pre-averaging approach,"
Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2249-2276, July.
- Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2007. "Microstructure noise in the continuous case: the pre-averaging approach," Technical Reports 2007,41, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005.
"A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data,"
Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December.
- Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003. "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers 10111, National Bureau of Economic Research, Inc.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise,"
Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford.
- Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010.
"Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 116-133, November.
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers 2009-45, Department of Economics and Business Economics, Aarhus University.
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print hal-00732537, HAL.
- Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011.
"Ultra high frequency volatility estimation with dependent microstructure noise,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 160-175, January.
- Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005. "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies 2005,30, Deutsche Bundesbank.
- Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang, 2005. "Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise," NBER Working Papers 11380, National Bureau of Economic Research, Inc.
- Ole E. Barndorff‐Nielsen & Neil Shephard, 2002.
"Econometric analysis of realized volatility and its use in estimating stochastic volatility models,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280, May.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
- Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001. "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers 71, University of Oxford, Department of Economics.
- Kalnina, Ilze & Linton, Oliver, 2008. "Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error," Journal of Econometrics, Elsevier, vol. 147(1), pages 47-59, November.
- repec:hal:journl:peer-00732537 is not listed on IDEAS
- Kristensen, Dennis, 2010.
"Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach,"
Econometric Theory, Cambridge University Press, vol. 26(1), pages 60-93, February.
- Dennis Kristensen, 2007. "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers 2007-02, Department of Economics and Business Economics, Aarhus University.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Hounyo, Ulrich, 2017. "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading," Journal of Econometrics, Elsevier, vol. 197(1), pages 130-152.
- repec:hum:wpaper:sfb649dp2013-021 is not listed on IDEAS
- Bibinger, Markus & Winkelmann, Lars, 2013. "Econometrics of co-jumps in high-frequency data with noise," SFB 649 Discussion Papers 2013-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bibinger, Markus & Winkelmann, Lars, 2015. "Econometrics of co-jumps in high-frequency data with noise," Journal of Econometrics, Elsevier, vol. 184(2), pages 361-378.
- repec:hum:wpaper:sfb649dp2013-006 is not listed on IDEAS
- Maria Elvira Mancino & Maria Cristina Recchioni, 2015. "Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-33, September.
- Stefano Peluso & Fulvio Corsi & Antonietta Mira, 2015. "A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns," Journal of Financial Econometrics, Oxford University Press, vol. 13(3), pages 665-697.
- Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, Department of Economics and Business Economics, Aarhus University.
- Bibinger, Markus & Mykland, Per A., 2013. "Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing," SFB 649 Discussion Papers 2013-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kalnina, Ilze, 2011. "Subsampling high frequency data," Journal of Econometrics, Elsevier, vol. 161(2), pages 262-283, April.
- Ilze Kalnina, 2023.
"Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 538-549, April.
- KALNINA, Ilze, 2015. "Inference for nonparametric high-frequency estimators with an application to time variation in betas," Cahiers de recherche 2015-08, Universite de Montreal, Departement de sciences economiques.
- Ilze KALNINA, 2015. "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Cahiers de recherche 13-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Cambridge Working Papers in Economics
2218, Faculty of Economics, University of Cambridge.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2023. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Papers 2307.01348, arXiv.org.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Working Papers 202212, University of Liverpool, Department of Economics.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Janeway Institute Working Papers 2208, Faculty of Economics, University of Cambridge.
- Bibinger, Markus, 2012. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2411-2453.
- Zu, Yang & Peter Boswijk, H., 2014. "Estimating spot volatility with high-frequency financial data," Journal of Econometrics, Elsevier, vol. 181(2), pages 117-135.
- Chen, Richard Y. & Mykland, Per A., 2017. "Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data," Journal of Econometrics, Elsevier, vol. 200(1), pages 79-103.
- Christensen, K. & Podolskij, M. & Thamrongrat, N. & Veliyev, B., 2017.
"Inference from high-frequency data: A subsampling approach,"
Journal of Econometrics, Elsevier, vol. 197(2), pages 245-272.
- Kim Christensen & Mark Podolskij & Nopporn Thamrongrat & Bezirgen Veliyev, 2015. "Inference from high-frequency data: A subsampling approach," CREATES Research Papers 2015-45, Department of Economics and Business Economics, Aarhus University.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011.
"Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading,"
Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," CREATES Research Papers 2008-63, Department of Economics and Business Economics, Aarhus University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Post-Print hal-00815564, HAL.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009. "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series gd08-037, Institute of Economic Research, Hitotsubashi University.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre.
- Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2014.
"Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(4), pages 679-707.
- Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2013. "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns," CREATES Research Papers 2013-07, Department of Economics and Business Economics, Aarhus University.
- Bollerslev, Tim & Meddahi, Nour & Nyawa, Serge, 2019. "High-dimensional multivariate realized volatility estimation," Journal of Econometrics, Elsevier, vol. 212(1), pages 116-136.
- Kim, Donggyu & Wang, Yazhen & Zou, Jian, 2016. "Asymptotic theory for large volatility matrix estimation based on high-frequency financial data," Stochastic Processes and their Applications, Elsevier, vol. 126(11), pages 3527-3577.
- Bibinger, Markus, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers 2011-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Richard Y. Chen & Per A. Mykland, 2015. "Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data," Papers 1512.06159, arXiv.org, revised Oct 2018.
- Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022. "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, vol. 137(C).
- Chaker, Selma, 2017. "On high frequency estimation of the frictionless price: The use of observed liquidity variables," Journal of Econometrics, Elsevier, vol. 201(1), pages 127-143.
- Mykland, Per A. & Zhang, Lan & Chen, Dachuan, 2019. "The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times," Journal of Econometrics, Elsevier, vol. 208(1), pages 101-119.
- Vladimír Holý & Petra Tomanová, 2023. "Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 463-485, June.
- Liu, Zhi & Kong, Xin-Bing & Jing, Bing-Yi, 2018. "Estimating the integrated volatility using high-frequency data with zero durations," Journal of Econometrics, Elsevier, vol. 204(1), pages 18-32.
- Ikeda, Shin S., 2016. "A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous," Journal of Econometrics, Elsevier, vol. 193(1), pages 203-214.
- Vladim'ir Hol'y & Petra Tomanov'a, 2020. "Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data," Papers 2003.13062, arXiv.org, revised Dec 2021.
More about this item
JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-05-08 (Econometrics)
- NEP-ETS-2012-05-08 (Econometric Time Series)
- NEP-MST-2012-05-08 (Market Microstructure)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fmg:fmgdps:dp703. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: The FMG Administration (email available below). General contact details of provider: http://www.lse.ac.uk/fmg/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.