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Identifier to cite or link to this item: https://hdl.handle.net/10086/25461

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Title
Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling
Creator
Creator Name
Koike, Yuta Koike, Yuta
Affiliation
Affiliation Name
University of Tokyo
Editor
Contributor Name
社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Key Word
Endogenous noise
Hayashi-Yoshida estimator
Integrated covariance
Market microstructure noise
Nonsynchronous observations
Pre-averaging
Stable convergence
Strong predictability
Abstract
We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner. The observation data is contaminated by some noise, which is possibly correlated with the returns of the diffusion processes, while the sampling times also possibly depend on the observed processes. This situation is much more realistic than those in which both of the noise and the sampling times are independent of the diffusion processes. In a high-frequency setting, we consider a modified version of the pre-averaged Hayashi- Yoshida estimator, and we show that such a kind of estimators has the consistency and the asymptotic mixed normality, and attains the optimal rate of convergence.
Description
January 2013
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2013-01
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Global COE Hi-Stat Discussion Paper Series ; No. 276
Relation
Related Identifier
URI
  http://gcoe.ier.hit-u.ac.jp/english/index.html
Number of Pages
45
Sponsorship
グローバルCOEプログラム = Global COE Program
Appears in Collections
Global COE Hi-Stat Discussion Paper Series
URL
https://hdl.handle.net/10086/25461