Working paper
An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models.
- Abstract:
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This paper introduces a new estimator to measure the ex-post covariation between high-frequency financial time series under market microstructure noise. We provide anasymptotic limit theory (including feasible central limit theorems) for standard methods such as regression, correlation analysis and covariance, for which we obtain the optimal rate of convergence. We demonstrate some positive semidefinite estimators of the covariation and construct a positive semidefinite estimator of the condi...
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Authors
Bibliographic Details
- Publisher:
- Oxford-Man Institute of Quantitative Finance
- Series:
- Working Papers
- Publication date:
- 2008-01-01
Item Description
- Language:
- English
- UUID:
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uuid:b7e8fd75-6f9c-4bd8-9cff-d58a7a383267
- Local pid:
- oai:economics.ouls.ox.ac.uk:13018
- Deposit date:
- 2011-08-16
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- Copyright date:
- 2008
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