期刊
JOURNAL OF ECONOMETRICS
卷 159, 期 1, 页码 116-133出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2010.05.001
关键词
Central limit theorem; Diffusion models; High-frequency data; Market microstructure noise; Non-synchronous trading; Pre-averaging; Realised covariance
资金
- Danish National Research Foundation
- Rhodes Trust
- Oxford-Man Institute of Quantitative Finance
We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an asymptotic theory for this new estimator, which can be configured to possess an optimal convergence rate or to ensure positive semi-definite covariance matrix estimates. We also derive a noise-robust Hayashi-Yoshida estimator that can be implemented on the original data without prior alignment of prices. We uncover the finite sample properties of our estimators with simulations and illustrate their practical use on high-frequency equity data. (C) 2010 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据