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Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
Liu, Zhi1; Xia, Xiaochao2; Zhou, Guoliang3
2018-07
Source PublicationRANDOM MATRICES-THEORY AND APPLICATIONS
ISSN2010-3263
Volume7Issue:3
Abstract

With rapid development of the global market, the number of financial securities has significantly grown, which greatly challenges the measuring of financial quantities. Among others, the estimation of covariance matrix which plays an important role in risk management becomes no longer accurate. In this paper, we consider the estimation of integrated covariance matrix of semi-martingales under framework of high dimension by using high frequency data. We assume that the multivariate asset prices are observed asynchronously and all the observed prices are contaminated by microstructure noise. We employ the pre-averaging method to remove the microstructure noise and the generalized synchronization method to deal with the non-synchronicity. Moreover, to avoid the inconsistency in the high-dimensional covariance matrix estimation, we propose a regularized estimate. The consistency under matrix l(2)-norm is established. Compared to existing results, our estimator improves the accuracy of the estimation. Finally, we assess the theoretical results via some simulation studies.

KeywordHigh-frequency Data Volatility Estimation Microstructure Noise
DOI10.1142/S2010326318500053
URLView the original
Indexed BySCI ; SSCI ; SSCI
Language英语
WOS Research AreaPhysics ; Mathematics
WOS SubjectPhysics, Mathematical ; Statistics & Probability
WOS IDWOS:000435720800001
PublisherWORLD SCI PUBL CO INC
The Source to ArticleWOS
Fulltext Access
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Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Affiliation1.Univ Macau, Ave Univ, Taipa, Macau, Peoples R China
2.Huazhong Agr Univ, Wuhan 43D070, Hubei, Peoples R China
3.Shanghai Univ Finance & Econ, Shanghai 200433, Peoples R China
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Liu, Zhi,Xia, Xiaochao,Zhou, Guoliang. Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data[J]. RANDOM MATRICES-THEORY AND APPLICATIONS,2018,7(3).
APA Liu, Zhi,Xia, Xiaochao,&Zhou, Guoliang.(2018).Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data.RANDOM MATRICES-THEORY AND APPLICATIONS,7(3).
MLA Liu, Zhi,et al."Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data".RANDOM MATRICES-THEORY AND APPLICATIONS 7.3(2018).
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