A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
持续且内生的微观结构效应与采样时长下证券协变矩阵的偏差校正
I propose a bias-corrected non-parametric estimator of the covariation matrix of log security prices, designed as a convex combination of two realized kernels. The estimator is simple but possesses desirable statistical properties including consistency, asymptotic normality and the parametric rate of convergence in the presence of persistent, diurnally heteroskedastic and endogenous microstructure effects. It is robust to the asynchronous trading of multiple securities with…