کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095429 | 1478574 | 2017 | 53 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading](/preview/png/5095429.png)
چکیده انگلیسی
Estimating the covariance between assets using high frequency data is challenging due to market microstructure effects and asynchronous trading. In this paper we develop a multivariate realised quasi maximum likelihood (QML) approach, carrying out inference as if the observations arise from an asynchronously observed vector scaled Brownian model observed with error. Under stochastic volatility the resulting realised QML estimator is positive definite, uses all available data, is consistent and asymptotically mixed normal. The quasi-likelihood is computed using a Kalman filter and optimised using a relatively simple EM algorithm. We also propose an alternative estimator using a factor model, which scales well with the number of assets. We derive the theoretical properties of these estimators and prove that they achieve the efficient rate of convergence. Our estimators are also analysed using Monte Carlo methods and applied to equity data with varying levels of liquidity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 201, Issue 1, November 2017, Pages 19-42
Journal: Journal of Econometrics - Volume 201, Issue 1, November 2017, Pages 19-42
نویسندگان
Neil Shephard, Dacheng Xiu,