کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155912 958783 2011 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Limit theorems in the Fourier transform method for the estimation of multivariate volatility
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Limit theorems in the Fourier transform method for the estimation of multivariate volatility
چکیده انگلیسی

In this paper, we prove some limit theorems for the Fourier estimator of multivariate volatility proposed by Malliavin and Mancino (2002, 2009) [14] and [15]. In a general framework of discrete time observations we establish the convergence of the estimator and some associated central limit theorems with explicit asymptotic variance. In particular, our results show that this estimator is consistent for synchronous data, but possibly biased for non-synchronous observations. Moreover, from our general central limit theorem, we deduce that the estimator can be efficient in the case of a synchronous regular sampling. In the non-synchronous sampling case, the expression of the asymptotic variance is in general less tractable. We study this case more precisely through the example of an alternate sampling.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 121, Issue 5, May 2011, Pages 1097–1124
نویسندگان
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