2013/05/14 by Markus Bibinger, Bibinger, Markus, Mathias Vetter +1
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistical Distribution Estimation and Applications #Statistical Methods and Inference #Statistics Theory (math.ST) #math.ST #stat.TH
paper · pdf · doi:10.48550/arxiv.1305.3068
arxiv created 2013/05/14 · openalex publication_date 2013/05/14 · arxiv updated 2013/05/15 · openalex created_date 2022/10/03 · openalex updated_date 2026/07/28
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 (2008) 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.