Search Results - subject:"Hayashi-Yoshida estimator"

How do the lengths of the lead lag time between stocks evolve? : tick-by-tick level measurements across two decades

Anderson, Bing - In: Journal of banking and financial economics 18 (2022) 2, pp. 49-59

this study, the lengths of the lead lag time within pairs of stocks of large US companies are estimated using the Hayashi-Yoshida … estimator, for each year from 2000 to 2022. We first construct stock pairs, with each pair containing two stocks from the same …

Persistent link: https://www.econbiz.de/10014285876

Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling

Koike, Yuta - 2013

Persistent link: https://www.econbiz.de/10009689976

Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling

Koike, Yuta - Institute of Economic Research, Hitotsubashi University - 2013

-frequency setting, we consider a modified version of the pre-averaged Hayashi- Yoshida estimator, and we show that such a kind of …

Persistent link: https://www.econbiz.de/10010614067

Estimation of integrated quadratic covariation with endogenous sampling times

Potiron, Yoann; Mykland, Per A. - In: Journal of econometrics 197 (2017) 1, pp. 20-41

Persistent link: https://www.econbiz.de/10011818337

On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes

Christensen, Kim; Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2011

points. The estimator of the covariation matrix is designed via a certain combination of the local averages and the Hayashi-Yoshida … estimator. Our method does not require any synchronization of the observation scheme (as e.g. previous tick method or refreshing …

Persistent link: https://www.econbiz.de/10009399367

Asymptotics of Asynchronicity

Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized …

Persistent link: https://www.econbiz.de/10009644467

Asymptotics of asynchronicity

Bibinger, Markus - 2011

observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized …

Persistent link: https://www.econbiz.de/10010281581

High frequency lead/lag relationships : empirical facts

Huth, Nicolas; Abergel, Frédéric - In: Journal of empirical finance 26 (2014), pp. 41-58

Persistent link: https://www.econbiz.de/10010472008

Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling

Koike, Yuta - In: Stochastic Processes and their Applications 124 (2014) 8, pp. 2699-2753

version of the pre-averaged Hayashi–Yoshida estimator, and we show that such a kind of estimator has the consistency and the …

Persistent link: https://www.econbiz.de/10010875062

On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes

Christensen, Kim; Podolskij, Mark; Vetter, Mathias - In: Journal of Multivariate Analysis 120 (2013) C, pp. 59-84

-synchronous points. The estimator of the covariation matrix is designed via a certain combination of the local averages and the Hayashi–Yoshida … estimator. Our method does not require any synchronization of the observation scheme (as for example the previous tick method or …

Persistent link: https://www.econbiz.de/10010681788