Seminar on Probability and Statistics

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Organizer(s) Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike

2015/08/07

13:20-14:30   Room #052 (Graduate School of Math. Sci. Bldg.)
Yoann Potiron (University of Chicago)
ESTIMATION OF INTEGRATED QUADRATIC COVARIATION BETWEEN TWO ASSETS WITH ENDOGENOUS SAMPLING TIMES
[ Abstract ]
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.