英文标题：
《Estimation of integrated quadratic covariation with endogenous sampling
  times》
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作者：
Yoann Potiron, Per Mykland
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最新提交年份：
2016
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英文摘要：
  When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on the relationship between the prices process and the observation times. In this paper, we introduce a general endogenous two-dimensional nonparametric model. Because an observation is generated whenever an auxiliary process called observation time process hits one of the two boundary processes, it is called the hitting boundary process with time process (HBT) model. We establish a central limit theorem for the Hayashi-Yoshida (HY) estimator under HBT in the case where the price process and the observation price process follow a continuous Ito process. We obtain an asymptotic bias. We provide an estimator of the latter as well as a bias-corrected HY estimator of the high-frequency covariance. In addition, we give a consistent estimator of the associated standard error.
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中文摘要：
在估计异步观测的两个任意资产的高频协方差（二次协变量）时，通常会对价格过程和观测时间之间的关系施加简单的假设，例如独立性。本文介绍了一种广义内生二维非参数模型。因为每当一个称为观测时间过程的辅助过程击中两个边界过程中的一个时，就会产生一个观测值，所以它被称为带时间过程的击中边界过程（HBT）模型。在价格过程和观测价格过程服从连续Ito过程的情况下，建立了HBT下Hayashi-Yoshida（HY）估计的中心极限定理。我们得到了一个渐近偏差。我们提供了后者的估计量以及高频协方差的偏差修正HY估计量。此外，我们给出了相关标准误差的一致估计。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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