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

• Material Type: 文書・図像類
• Title: Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling
• Author/Editor: Koike, Yuta
• Author Heading: Koike, Yuta
• Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
• Publication Date: 2013-01
• Publication Date (W3CDTF): 2013-01
• Contributor: 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
• Text Language Code: eng
• Subject Heading: Endogenous noise; Hayashi-Yoshida estimator; Integrated covariance; Market microstructure noise; Nonsynchronous observations; Pre-averaging; Stable convergence; Strong predictability
• Target Audience: 一般
• Note (General): January 2013; グローバルCOEプログラム = Global COE Program
• Format (IMT): application/pdf
• Source: fulltext; https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/25461/gd12-276.pdf
• Access Restrictions: インターネット公開
• Related Material (URI): URI; http://gcoe.ier.hit-u.ac.jp/english/index.html
• Periodical Title: Global COE Hi-Stat Discussion Paper Series ; No. 276
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources

• Summary, etc.: We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner. The observation data is contamin...