High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
作者： Yacine Aït-Sahalia , Jianqing Fan , Dacheng Xiu
DOI: 10.1198/JASA.2010.TM10163
关键词: Efficient estimator 、 Estimator 、 Minimax estimator 、 Consistent estimator 、 Mathematics 、 Quasi-likelihood 、 Market microstructure 、 Epps effect 、 Econometrics 、 Covariance
摘要: This article proposes a consistent and efficient estimator of the high-frequency covariance (quadratic covariation) two arbitrary assets, observed asynchronously with market microstructure noise. is built on marriage quasi–maximum likelihood quadratic variation proposed generalized synchronization scheme thus not influenced by Epps effect. Moreover, estimation procedure free tuning parameters or bandwidths readily implementable. Monte Carlo simulations show advantage this comparing it variety estimators specific methods. The empirical studies six foreign exchange future contracts illustrate time-varying correlations currencies during 2008 global financial crisis, demonstrating similarities differences in their roles as key market.
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