Large and moderate deviations of realized covolatility

Hacène Djellout and Yacouba Samoura

Statistics & Probability Letters, 2014, vol. 86, issue C, 30-37

Abstract: In this note, we consider the large and moderate deviation principle of the estimators of the integrated covariance of two-dimensional diffusion processes when they are observed only at discrete times in a synchronous manner. The proof is extremely simple. It is essentially an application of the contraction principle for the results given in the case of the volatility by Djellout et al. (1999).

Keywords: Deviation inequalities; Large and moderate deviation principle; Diffusion; Discrete-time observation; Realized volatility (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2013.12.003

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