Efficient covariance estimation for asynchronous noisy high-frequency data

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dc.creatorBibinger, Markus
dc.date2008-12-18
dc.date.accessioned2026-07-07T12:20:19Z
dc.date.available2026-07-07T12:20:19Z
dc.descriptionWe focus on estimating the integrated covariance of log-price processes in the presence of market microstructure noise. We construct an efficient unbiased estimator for the quadratic covariation of two Itô processes in the case where high-frequency asynchronous discrete returns under market microstructure noise are observed. This estimator is based on synchronization and multi-scale methods and attains the optimal rate of convergence. A Monte Carlo study analyzes the finite sample size characteristics of our estimator.
dc.description29 pages, including 4 pictures
dc.identifierhttps://arxiv.org/abs/0812.3536
dc.identifierhttp://arxiv.org/abs/0812.3536
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/213032
dc.subjectStatistics Theory
dc.subject62G05; 62F12
dc.titleEfficient covariance estimation for asynchronous noisy high-frequency data
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