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Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Hautsch, Nikolaus; Podolskij, Mark - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …
Persistent link: https://www.econbiz.de/10008461100
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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...
Persistent link: https://www.econbiz.de/10009644466
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Asymptotics of Asynchronicity
Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...
Persistent link: https://www.econbiz.de/10009644467
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Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...
Persistent link: https://www.econbiz.de/10010640724
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an appropriate estimation for time-varying volatilities stems from an...
Persistent link: https://www.econbiz.de/10010587710
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Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
Bibinger, Markus; Mykland, Per A. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
inference for a broad class of multivariate models and linear functions of the recorded components. This paves the way to tests …
Persistent link: https://www.econbiz.de/10010603544
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ECB monetary policy surprises: identification through cojumps in interest rates
winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...
Persistent link: https://www.econbiz.de/10011277280
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Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
Bibinger, Markus; Reiss, Markus; Hautsch, Nikolaus; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10011277282
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TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
Chen, Ray-Bing; Chen, Ying; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
Source extraction and dimensionality reduction are important in analyzing high dimensional and complex financial time series that are neither Gaussian distributed nor stationary. Independent component analysis (ICA) method can be used to factorize the data into a linear combination of...
Persistent link: https://www.econbiz.de/10009275680
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Composite Quantile Regression for the Single-Index Model
Fan, Yan; Härdle, Wolfgang Karl; Wang, Weining; Zhu, Lixing - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a...
Persistent link: https://www.econbiz.de/10010609988