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Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations

Taro Kanatani ()

No 634, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: In this paper, we provide a framework to evaluate finite sample MSE of several realized covariance estimators when using nonsynchronous observations contaminated with microstructure noise. This framework enables us to examine different estimators. We propose some estimators as an application of the framework.

Keywords: High frequency data; Weighted realized covariance; Nonsynchronous (asynchronous) observation; Microstructure noise (search for similar items in EconPapers)
JEL-codes: C14 C32 C63 (search for similar items in EconPapers)
Pages: 19pages
Date: 2007-06
New Economics Papers: this item is included in nep-ecm and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:kyo:wpaper:634

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