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- W2157777805 abstract ". We focus on estimating the integrated covariance of log-price processes in the presence of market microstructure noise. We construct a consistent asymptotically unbiased estimator for the quadratic covariation of two Ito processes in the case where high-frequency asynchronous discrete returns under market microstructure noise are observed. This estimator is based on synchronization and multi-scale methods and attains the optimal rate of convergence. A lower bound for the rate of convergence is derived from the local asymptotic normality property of the simpler parametric model with equidistant and synchronous observations. A Monte Carlo study analyses the finite sample size characteristics of our estimator." @default.
- W2157777805 created "2016-06-24" @default.
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- W2157777805 date "2010-09-30" @default.
- W2157777805 modified "2023-09-25" @default.
- W2157777805 title "Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data" @default.
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- W2157777805 doi "https://doi.org/10.1111/j.1467-9469.2010.00712.x" @default.
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