An integrated cross-volatility estimation for asynchronous noisy data

Hoang-Long Ngo

Journal of Nonparametric Statistics, 2012, vol. 24, issue 2, 465-480

Abstract: Let σt be the instantaneous cross-volatility of two continuous semimartingales X and Y. In this paper, we introduce some estimators for the class of integrated cross-volatilities of the form where g is a continuous function and processes X and Y are sampled with microstructure noise and in an asynchronous way. In finance, it is widely accepted that the processes X and Y are reasonable models for the log return of price processes of stock and currency and our estimator is relevant in the context of intra-day high-frequency trading.

Date: 2012
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DOI: 10.1080/10485252.2011.647696

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