An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Details An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

2011-06-21

arxiv.org/abs/1106.4228v1

Mathematics

Statistics Theory

36 pages

Scientific paper

The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate on convenient regularity assumptions. The inevitably remaining impact of asynchronous deterministic sampling schemes and noise corruption on the asymptotic distribution is precisely elucidated. A case study for various important examples, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in applications.

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