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• W2012446887 abstract "We establish estimation methods to determine co-jumps in multivariate high-frequency data with non-synchronous observations and market microstructure. A rate-optimal estimator of the entire quadratic covariation of an Itô-semimartingale is constructed by a locally adaptive spectral approach. Thresholding allows to disentangle the co-jump from the continuous part. We derive a feasible limit theorem for a truncated estimator of integrated covolatility which facilitates asymptotically efficient (co-)volatility estimation in the presence of jumps. A test for common jumps is presented. Simulations and an empirical application to intra-day tick-data from EUREX futures demonstrate the practical value of the approach." @default.
• W2012446887 created "2016-06-24" @default.
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• W2012446887 date "2015-02-01" @default.
• W2012446887 modified "2023-10-03" @default.
• W2012446887 title "Econometrics of co-jumps in high-frequency data with noise" @default.
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• W2012446887 doi "https://doi.org/10.1016/j.jeconom.2014.10.004" @default.
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