Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Kim Christensen (), Silja Kinnebrock () and Mark Podolskij ()
Additional contact information
Silja Kinnebrock: AOPP - Department of Atmospheric, Oceanic and Planetary Physics [Oxford] - University of Oxford

Post-Print from HAL

Abstract: We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an asymptotic theory for this new estimator, which can be configured to possess an optimal convergence rate or to ensure positive semi-definite covariance matrix estimates. We also derive a noise-robust Hayashi-Yoshida estimator that can be implemented on the original data without prior alignment of prices. We uncover the finite sample properties of our estimators with simulations and illustrate their practical use on high-frequency equity data.

Keywords: C10; C22; C80; Central limit theorem; Diffusion models; High-frequency data; Market microstructure noise; Non-synchronous trading; Pre-averaging; Realised covariance (search for similar items in EconPapers)
Date: 2010-09-15
Note: View the original document on HAL open archive server: https://hal.science/hal-00732537
References: Add references at CitEc
Citations: View citations in EconPapers (134)

Published in Econometrics, 2010, 159 (1), pp.116. ⟨10.1016/j.jeconom.2010.05.001⟩

Downloads: (external link)
https://hal.science/hal-00732537/document (application/pdf)

Related works:
Journal Article: Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (2010)
Working Paper: Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00732537

DOI: 10.1016/j.jeconom.2010.05.001

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().