Quadratic covariation estimator Asynchronous observations Market microstructure noise Subsampling Multi-scale estimator Optimal rate Efficient covariance estimation for asynchronous noisy high-frequency data Markus Bibinger Bibinger Markus Institut für Mathematik, Humboldt-Universität zu Berlin (ISSN 0863-0976),

Efficient covariance estimation for asynchronous noisy high-frequency data

Markus Bibinger

Preprint series: Institut für Mathematik, Humboldt-Universität zu Berlin (ISSN 0863-0976),

MSC 2000

62G05 Estimation
62F12 Asymptotic properties of estimators

Abstract
We focus on estimating the integrated covariance of log-price processes in the presence of market microstructure noise. We construct an efficient unbiased estimator for the quadratic covariation of two Itô processes in the case where high-frequency asynchronous discrete returns under market microstructure noise are observed. This estimator is based on synchronization and multi-scale methods and attains the optimal rate of convergence. A Monte Carlo study analyzes the finite sample size characteristics of our estimator.

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