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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
We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to be asynchronous. The central limit theorem is shown to have a feasible version. In the process, we show that the...
Persistent link: https://www.econbiz.de/10010603544
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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. - 2013
We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to be asynchronous. The central limit theorem is shown to have a feasible version. In the process, we show that the...
Persistent link: https://www.econbiz.de/10010318742
Cover Image
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. - 2013
We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to be asynchronous. The central limit theorem is shown to have a feasible version. In the process, we show that the...
Persistent link: https://www.econbiz.de/10009684676