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Activity Number: 279
Type: Contributed
Date/Time: Tuesday, August 4, 2009 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #304972
Title: Quadratic Covariation Estimation with Noisy and Asynchronous Data
Author(s): Dacheng Xiu*+
Companies: Princeton University
Address: 2nd Floor Fine Hall Washington Road, Princeton, NJ, 08544,
Keywords: Market Microstructure Noise ; Quadratic Covariation ; Quasi-Maximum Likelihood Estimator ; Refresh Time ; Synchronization
Abstract:

This paper proposes a consistent and efficient estimator of the quadratic covariation of two arbitrary stocks, observed asynchronously at high frequency with market microstructure noise. The estimator is built upon the marriage of the quasi-maximum likelihood estimator of the quadratic variation and the refresh time synchronization scheme, hence irrelevant of the Epps effect.

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