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arXiv · 1305.3068

Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps

Markus Bibinger·Mathias Vetter
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Abstract

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 by 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 Hayashi-Yoshida estimator 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.

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Markus Bibinger, Mathias Vetter. 2013-05-14. Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. https://arxiv.org/abs/1305.3068

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