Open Access
April 2005 On covariance estimation of non-synchronously observed diffusion processes
Takaki Hayashi, Nakahiro Yoshida
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Bernoulli 11(2): 359-379 (April 2005). DOI: 10.3150/bj/1116340299


We consider the problem of estimating the covariance of two diffusion processes when they are observed only at discrete times in a non-synchronous manner. The modern, popular approach in the literature, the realized covariance estimator, which is based on (regularly spaced) synchronous data, is problematic because the choice of regular interval size and data interpolation scheme may lead to unreliable estimation. We propose a new estimator which is free of any `synchronization' processing of the original data, hence free of bias or other problems caused by it.


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Takaki Hayashi. Nakahiro Yoshida. "On covariance estimation of non-synchronously observed diffusion processes." Bernoulli 11 (2) 359 - 379, April 2005.


Published: April 2005
First available in Project Euclid: 17 May 2005

zbMATH: 1064.62091
MathSciNet: MR2132731
Digital Object Identifier: 10.3150/bj/1116340299

Keywords: Diffusions , Discrete-time observations , high-frequency data , mathematical finance , non-synchronous trading , Quadratic Variation , realized volatility

Rights: Copyright © 2005 Bernoulli Society for Mathematical Statistics and Probability

Vol.11 • No. 2 • April 2005
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