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On estimating the integrated co-volatility using noisy high-frequency data with jumps
Jing,Bing Yi1,2; Li,Cui Xia1; Liu,Zhi3
2013-11-02
Source PublicationCommunications in Statistics - Theory and Methods
ISSN0361-0926
Volume42Issue:21Pages:3889-3901
AbstractIn this article, we consider the estimation of covariation of two asset prices which contain jumps and microstructure noise, based on high-frequency data. We propose a realized covariance estimator, which combines pre-averaging method to remove the microstructure noise and the threshold method to reduce the jumps effect. The asymptotic properties, such as consistency and asymptotic normality, are investigated. The estimator allows very general structure of jumps, for example, infinity activity or even infinity variation. Simulation is also included to illustrate the performance of the proposed procedure. © 2013 Copyright Taylor and Francis Group, LLC.
KeywordCentral limit theorem Co-volatility High-frequency data Ito semi-martingale Jumps Microstructure noise
DOI10.1080/03610926.2011.639974
URLView the original
Language英语
Scopus ID2-s2.0-84885615667
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Cited Times [WOS]:2   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionUniversity of Macau
Corresponding AuthorLiu,Zhi
Affiliation1.School of Mathematics and Statistics,Lanzhou University,Lanzhou,China
2.Department of Mathematics,Hong Kong University of Science and Technology, Clear Water Bay,Hong Kong
3.Department of Mathematics,Faculty of Science and Technology,University of Macau,Taipa,Macao
Corresponding Author AffilicationFaculty of Science and Technology
Recommended Citation
GB/T 7714
Jing,Bing Yi,Li,Cui Xia,Liu,Zhi. On estimating the integrated co-volatility using noisy high-frequency data with jumps[J]. Communications in Statistics - Theory and Methods,2013,42(21):3889-3901.
APA Jing,Bing Yi,Li,Cui Xia,&Liu,Zhi.(2013).On estimating the integrated co-volatility using noisy high-frequency data with jumps.Communications in Statistics - Theory and Methods,42(21),3889-3901.
MLA Jing,Bing Yi,et al."On estimating the integrated co-volatility using noisy high-frequency data with jumps".Communications in Statistics - Theory and Methods 42.21(2013):3889-3901.
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