Asymptotics for realized covariance under market microstructure noise and sampling frequency determination
- Authors
- Shin, Dong Wan; Hwang, Eunju
- Issue Date
- Sep-2016
- Publisher
- KOREAN STATISTICAL SOC
- Keywords
- market microstructure noise; non-synchronous trading; realized covariance
- Citation
- COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, v.23, no.5, pp.411 - 421
- Journal Title
- COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS
- Volume
- 23
- Number
- 5
- Start Page
- 411
- End Page
- 421
- URI
- https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/7989
- DOI
- 10.5351/CSAM.2016.23.5.411
- ISSN
- 2287-7843
- Abstract
- Large frequency limiting distributions of two errors in realized covariance are investigated under noisy and non-synchronous high frequency sampling situations. The first distribution characterizes increased variance of the realized covariance due to noise for large frequency and the second distribution characterizes decreased variance of the realized covariance due to discretization for large frequency. The distribution of the combined error enables us to determine the sampling frequency which depends on a nuisance parameter. A consistent estimator of the nuisance parameter is proposed.
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