本文印刷
全画面プリント
統計数学セミナー
過去の記録 ～05/02｜次回の予定｜今後の予定 05/03～
| 担当者 | 吉田朋広、増田弘毅、荻原哲平、小池祐太 |
|---|---|
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2015年08月07日(金)
13:20-14:30 数理科学研究科棟(駒場) 052号室
Yoann Potiron 氏 (University of Chicago)
ESTIMATION OF INTEGRATED QUADRATIC COVARIATION BETWEEN TWO ASSETS WITH ENDOGENOUS SAMPLING TIMES
Yoann Potiron 氏 (University of Chicago)
ESTIMATION OF INTEGRATED QUADRATIC COVARIATION BETWEEN TWO ASSETS WITH ENDOGENOUS SAMPLING TIMES
[ 講演概要 ]
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.
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.
