Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
含噪观测下二次协变差矩阵的估计:局部矩方法与效率AI 解读 ↓
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含噪观测下二次协变差矩阵的估计:局部矩方法与效率AI 解读 ↓
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An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time observation model where a local generalised method of moments in the spectral domain turns out to be optimal. Asymptotic semi-parametric efficiency is established in the Cramér–Rao sense. Main findings are that nonsynchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation. Simulations illustrate the finite-sample behaviour.
高频数据的广义积分矩方法
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粗糙波动率的统计推断:中心极限定理
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than semimartingales and resembles that of a fractional Brownian motion with Hurst parameter $H < 0.5$. In this paper, we derive a consistent and asymptotically mixed normal estimator of $H$ based on high-frequency price observations. In contrast to previous works, we work in a semiparametric setting…