大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

ESTIMATION OF INTEGRATED QUADRATIC COVARIATION BETWEEN TWO ASSETS WITH ENDOGENOUS SAMPLING TIMES

Yoann Potiron (University of Chicago)

1. ホーム
2. セミナー・集中講義
3. セミナー
4. ESTIMATION OF INTEGRATED QUADRATIC COVARIATION BETWEEN TWO ASSETS WITH ENDOGENOUS SAMPLING TIMES

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第66回

ESTIMATION OF INTEGRATED QUADRATIC COVARIATION BETWEEN TWO ASSETS WITH ENDOGENOUS SAMPLING TIMES

Yoann Potiron (University of Chicago)

When estimating integrated covariation between two assets based on high-frequency data,simple assumptions are usually imposed on the relationship between the price processes and the observation times. In this paper, we introduce an endogenous 2-dimensional model and show that it is more general than the existing endogenous models of the literature. In addition, we establish a central limit theorem for the Hayashi-Yoshida estimator in this general endogenous model in the case where prices follow pure-diffusion processes.