Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency

Markus Bibinger, Nikolaus Hautsch, Peter Malec, Markus Reiss

Veröffentlichungen: Beitrag in FachzeitschriftArtikelPeer Reviewed

Abstract

An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time observation model where a local generalised method of moments in the spectral domain turns out to be optimal. Asymptotic semi-parametric efficiency is established in the Cramér-Rao sense. Main findings are that nonsynchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation. Simulations illustrate the finitesample behaviour.
OriginalspracheEnglisch
Seiten (von - bis)1312-1346
Seitenumfang35
FachzeitschriftAnnals of Statistics
Jahrgang42
Ausgabenummer4
DOIs
PublikationsstatusVeröffentlicht - 2014

ÖFOS 2012

  • 502025 Ökonometrie
  • 502051 Wirtschaftsstatistik

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