10.17877/DE290R-5486
Bibinger, Markus
Vetter, Mathias
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Technische Universität Dortmund
2013
asynchronous observations
co-jumps
quadratic covariation
statistics of semimartingales
310
330
620
Technische Universität Dortmund
Technische Universität Dortmund
2013-05-15
2013-05-15
2013-05-15
en
working paper
http://hdl.handle.net/2003/30317
open access
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are generalized to the case of irregular observations. In the two-dimensional setup under non-synchronous observations, we derive a stable central limit theorem for the estimator by Hayashi and Yoshida (2005) in the presence of jumps. We reveal how idiosyncratic and simultaneous jumps affect the asymptotic distribution. Observation times generated by Poisson processes are explicitly discussed.
Discussion Paper / SFB 823;20/2013