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Wiener 泛函最大值的高斯近似及高频数据应用AI 解读

This paper establishes an upper bound for the Kolmogorov distance between the maximum of a high-dimensional vector of smooth Wiener functionals and the maximum of a Gaussian random vector. As a special case, we show that the maximum of multiple Wiener–Itô integrals with common orders is well approximated by its Gaussian analog in terms of the Kolmogorov distance if their covariance matrices are close to each other and the maximum of the fourth cumulants of the multiple…

非同步、微观结构噪声与跳跃并存时的积分协方差估计AI 解读

We propose a new estimator for the integrated covariance of two Itô semimartingales observed at a high frequency. This new estimator, which we call the pre-averaged truncated Hayashi–Yoshida estimator, enables us to separate the sum of the co-jumps from the total quadratic covariation even in the case that the sampling schemes of two processes are nonsynchronous and the observation data are polluted by some noise. We also show the asymptotic mixed normality of this estimator…