Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
异步且含加性测量误差的高频股票收益二次协变差矩阵估计
This paper studies the estimation problem of the covariance matrices of asset returns in the presence of microstructure noise and asynchronicity between the observations across different assets. Motivated by Malliavin and Mancino (2002, 2009) we propose a new Fourier domain based estimator of multivariate ex-post volatility, which we call the Fourier Realized Kernel (FRK). An advantage of this approach is that no explicit time alignment is required unlike the time domain…