کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156414 958828 2015 45 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Functional stable limit theorems for quasi-efficient spectral covolatility estimators
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Functional stable limit theorems for quasi-efficient spectral covolatility estimators
چکیده انگلیسی

We consider noisy non-synchronous discrete observations of a continuous semimartingale with random volatility. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: one-dimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous observations for a bivariate spectral covolatility estimator and multivariate for a local method of moments. The results demonstrate that local adaptivity and smoothing noise dilution in the Fourier domain facilitate substantial efficiency gains compared to previous approaches. In particular, the derived asymptotic variances coincide with the benchmarks of semiparametric Cramér–Rao lower bounds and the considered estimators are thus asymptotically efficient in idealized sub-experiments. Feasible central limit theorems allowing for confidence bounds are provided.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 12, December 2015, Pages 4556–4600
نویسندگان
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