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On Estimating The Integrated Co-volatility Using Noisy High Frequency Data with Jumps

Id：2161 Date：20131014 Status：published ClickTimes：
作者Bing-Yi Jing, Cui-Xia Li, Zhi Liu
正文In this paper, we consider the estimation of covariation of two asset prices which contain jumps and microstructure noise, based on high frequency data. We propose a realized covariance estimator, which combines pre-averaging method to remove the microstructure noise and the threshold method to reduce the jumps effect. The asymptotic properties, such as consistency and asymptotic normality, are investigated. The estimator allows very general structure of jumps, for example, binfinity activity or even infinity variation. Simulation is also included to illustrate the performance of the proposed procedure.
JEL-Codes：
关键词：Ito semi-martingale; High frequency data; Microstructure noise; Covolatility; Jumps; Central limit theorem.
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