72 citations · 178 across the 21 of their papers we have counts for
Showing 2013 · math.STShow all
3 papers · 2 filters
math.ST2013
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Markus Bibinger, Mathias Vetter
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariat…
math.ST2013★ 72 cited
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Markus Bibinger, Nikolaus Hautsch, Peter Malec +1
An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous obs…
math.ST2013★ 24 cited
Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
Markus Bibinger, Per A. Mykland
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…