Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

By Takaki Hayashi, Nakahiro Yoshida. 2008

71 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/97a811187a352f947c46197f6ed42fd553d197d6

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Citations in the corpus

Irregular sampling and central limit theorems for power variations: The continuous case (2011, background): “Relatively few papers are so far available in that case: see [14], [1] and [15] for deterministic observation times, and [4] for some special random times like hitting times, and [16] for a situation which is relatively close to the present paper, and [7], [ 8 ], [9], [6] and [2] when the process is”
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory (2011, background): “where the product terms include all increments of the processes with overlapping observation time instants, has been proved in [15] to be consistent in a model of asynchronously observed Itô processes with deterministic correlation, drift and volatility functions in the absence of observation noise ”
Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data (2010, unknown): “3.6.1 A pre-averaged Hayashi-Yoshida estimator Hayashi and Yoshida (2005, 2008) develop an alternative procedure for covariance measurement in the noise-free case, which is based on the original non-synchronous data (see, e.g., de Jong and Nijman, 1997; Martens, 2003; Palandri, 2006; Corsi and…”
Nonsynchronous covariation process and limit theorems (2011, methodology): “In Hayashi and Yoshida (2008a), the authors previously proved a CLT for the same statistic when the sampling schemes are independent of the processes X and Y .”
Interconnectedness in the global financial market (2017, unknown): “This procedure is related to the works by Christensen et al. (2010) and Hayashi and Yoshida (2008), albeit much simpler and to be understood as an approximation.”
Estimation of the lead-lag parameter from non-synchronous data (2013, methodology): “We construct, in the paper, an estimator of θ based on a modification of the Hayashi–Yoshida covariation estimator; see [11] and [13].”