An integrated cross-volatility estimation for asynchronous noisy data

作者：Ngo Hoang Long^*

来源：Journal of Nonparametric Statistics, 2012, 24(2): 465-480.

DOI：10.1080/10485252.2011.647696

• asynchronous data
• cross-volatility
• integrated volatility
• microstructure noise

Let sigma(t) be the instantaneous cross-volatility of two continuous semimartingales X and Y. In this paper, we introduce some estimators for the class of integrated cross-volatilities of the form integral(1)(0) g(X(t), Y(t))sigma(t) dt, where g is a continuous function and processes X and Y are sampled with microstructure noise and in an asynchronous way. In finance, it is widely accepted that the processes X and Y are reasonable models for the log return of price processes of stock and currency and our estimator is relevant in the context of intra-day high-frequency trading.

• 出版日期2012