Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
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More about this item
Keywords
adaptive estimation; asymptotic equivalence; asynchronous observations; integrated covolatility matrix; quadratic covariation; semiparametric efficiency; microstructure noise; spectral estimation;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-05-05 (Econometrics)
- NEP-MST-2013-05-05 (Market Microstructure)
- NEP-ORE-2013-05-05 (Operations Research)
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