Estimation of correlation between latent processes

Akitoshi Kimura, Nakahiro Yoshida

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper discusses estimation of correlation between hidden semimartingales.We showthe consistency and the asymptotic mixed normality of the proposed correlation estimator in a high frequency setting. As an example, estimation of covariance between intensity processes of doubly stochastic point processes will be mentioned.

Original languageEnglish
Title of host publicationAdvanced Modelling in Mathematical Finance - In Honour of Ernst Eberlein
EditorsJan Kallsen, Antonis Papapantoleon
PublisherSpringer New York LLC
Pages131-146
Number of pages16
ISBN (Print)9783319458731
DOIs
Publication statusPublished - 2016 Jan 1
Externally publishedYes
EventWorkshop on Advanced Modelling in Mathematical Finance, 2015 - Kiel, Germany
Duration: 2015 May 202015 May 22

Publication series

NameSpringer Proceedings in Mathematics and Statistics
Volume189
ISSN (Print)2194-1009
ISSN (Electronic)2194-1017

Conference

ConferenceWorkshop on Advanced Modelling in Mathematical Finance, 2015
CountryGermany
CityKiel
Period15/5/2015/5/22

Fingerprint

Latent Process
Semimartingale
Point Process
Normality
Stochastic Processes
Estimator

Keywords

  • Asymptotic mixed normality
  • High frequency data
  • Latent correlation

ASJC Scopus subject areas

  • Mathematics(all)

Cite this

Kimura, A., & Yoshida, N. (2016). Estimation of correlation between latent processes. In J. Kallsen, & A. Papapantoleon (Eds.), Advanced Modelling in Mathematical Finance - In Honour of Ernst Eberlein (pp. 131-146). (Springer Proceedings in Mathematics and Statistics; Vol. 189). Springer New York LLC. https://doi.org/10.1007/978-3-319-45875-5_6

Estimation of correlation between latent processes. / Kimura, Akitoshi; Yoshida, Nakahiro.

Advanced Modelling in Mathematical Finance - In Honour of Ernst Eberlein. ed. / Jan Kallsen; Antonis Papapantoleon. Springer New York LLC, 2016. p. 131-146 (Springer Proceedings in Mathematics and Statistics; Vol. 189).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Kimura, A & Yoshida, N 2016, Estimation of correlation between latent processes. in J Kallsen & A Papapantoleon (eds), Advanced Modelling in Mathematical Finance - In Honour of Ernst Eberlein. Springer Proceedings in Mathematics and Statistics, vol. 189, Springer New York LLC, pp. 131-146, Workshop on Advanced Modelling in Mathematical Finance, 2015, Kiel, Germany, 15/5/20. https://doi.org/10.1007/978-3-319-45875-5_6
Kimura A, Yoshida N. Estimation of correlation between latent processes. In Kallsen J, Papapantoleon A, editors, Advanced Modelling in Mathematical Finance - In Honour of Ernst Eberlein. Springer New York LLC. 2016. p. 131-146. (Springer Proceedings in Mathematics and Statistics). https://doi.org/10.1007/978-3-319-45875-5_6
Kimura, Akitoshi ; Yoshida, Nakahiro. / Estimation of correlation between latent processes. Advanced Modelling in Mathematical Finance - In Honour of Ernst Eberlein. editor / Jan Kallsen ; Antonis Papapantoleon. Springer New York LLC, 2016. pp. 131-146 (Springer Proceedings in Mathematics and Statistics).
@inproceedings{b27d5534d97a476ea325f81f36e5a2fe,
title = "Estimation of correlation between latent processes",
abstract = "This paper discusses estimation of correlation between hidden semimartingales.We showthe consistency and the asymptotic mixed normality of the proposed correlation estimator in a high frequency setting. As an example, estimation of covariance between intensity processes of doubly stochastic point processes will be mentioned.",
keywords = "Asymptotic mixed normality, High frequency data, Latent correlation",
author = "Akitoshi Kimura and Nakahiro Yoshida",
year = "2016",
month = "1",
day = "1",
doi = "10.1007/978-3-319-45875-5_6",
language = "English",
isbn = "9783319458731",
series = "Springer Proceedings in Mathematics and Statistics",
publisher = "Springer New York LLC",
pages = "131--146",
editor = "Jan Kallsen and Antonis Papapantoleon",
booktitle = "Advanced Modelling in Mathematical Finance - In Honour of Ernst Eberlein",

}

TY - GEN

T1 - Estimation of correlation between latent processes

AU - Kimura, Akitoshi

AU - Yoshida, Nakahiro

PY - 2016/1/1

Y1 - 2016/1/1

N2 - This paper discusses estimation of correlation between hidden semimartingales.We showthe consistency and the asymptotic mixed normality of the proposed correlation estimator in a high frequency setting. As an example, estimation of covariance between intensity processes of doubly stochastic point processes will be mentioned.

AB - This paper discusses estimation of correlation between hidden semimartingales.We showthe consistency and the asymptotic mixed normality of the proposed correlation estimator in a high frequency setting. As an example, estimation of covariance between intensity processes of doubly stochastic point processes will be mentioned.

KW - Asymptotic mixed normality

KW - High frequency data

KW - Latent correlation

UR - http://www.scopus.com/inward/record.url?scp=85009810750&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85009810750&partnerID=8YFLogxK

U2 - 10.1007/978-3-319-45875-5_6

DO - 10.1007/978-3-319-45875-5_6

M3 - Conference contribution

AN - SCOPUS:85009810750

SN - 9783319458731

T3 - Springer Proceedings in Mathematics and Statistics

SP - 131

EP - 146

BT - Advanced Modelling in Mathematical Finance - In Honour of Ernst Eberlein

A2 - Kallsen, Jan

A2 - Papapantoleon, Antonis

PB - Springer New York LLC

ER -