Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps

Markus Bibinger () and Mathias Vetter ()

Annals of the Institute of Statistical Mathematics, 2015, vol. 67, issue 4, 707-743

Abstract: We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results by Jacod for regularly spaced observations are generalized to the case of irregular observations. In the two-dimensional setup under non-synchronous observations, we derive a stable central limit theorem for the Hayashi–Yoshida estimator in the presence of jumps. We reveal how idiosyncratic and simultaneous jumps affect the asymptotic distribution. Observation times generated by Poisson processes are explicitly discussed. Copyright The Institute of Statistical Mathematics, Tokyo 2015

Keywords: Asynchronous observations; Co-jumps; Statistics of semimartingales; Quadratic covariation (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10463-014-0473-x

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