統計数学セミナー
Seminar on Probability and Statistics |
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Seminar on Probability and Statistics Thursday July 1 2004 Tokyo 128 2:40-3:50 pm
非同期観測される高頻度取引データを用いた
共分散-相関係数の推定方法について
(On covariance estimation for high-frequency financial data)
林 高樹 / HAYASHI, Takaki コロンビア大学 / Columbia University Abstract We consider the problem of estimating the covariance/correlation
of twodiffusion prices that are observed at discrete times in a nonsynchronous
manner. A modern, popular approach in the literature, "realized"
estimator, which is based on the sum of cross-products of intraday
log-price changes measured on regularly-spaced intervals over a day, is
problematic because choice of regular interval size and data
interpolation scheme may lead to unreliable estimation. We present a new
estimation procedure recently proposed by Hayashi and Yoshida(03)(04),
which is free of such "synchronization" of data, hence, free from biases
or other problems caused by it. In particular, the estimators are shown
to have consistency as the observation frequency (or the market
liquidity) tends to infinity, which is not possessed by realized
estimators.
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