New Economics Papers
on Market Microstructure
Issue of 2007‒07‒13
one paper chosen by
Thanos Verousis

  1. Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations By Taro Kanatani

  1. By: Taro Kanatani (Institute of Economic Research, Kyoto University)
    Abstract: In this paper, we provide a framework to evaluate finite sample MSE of several realized covariance estimators when using nonsynchronous observations contaminated with microstructure noise. This framework enables us to examine different estimators. We propose some estimators as an application of the framework.
    Keywords: High frequency data; Weighted realized covariance; Nonsynchronous (asynchronous) observation; Microstructure noise
    JEL: C14 C32 C63
    Date: 2007–06

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