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

Keywords

  • Asymptotic mixed normality
  • High frequency data
  • Latent correlation

ASJC Scopus subject areas

  • Mathematics(all)

Fingerprint Dive into the research topics of 'Estimation of correlation between latent processes'. Together they form a unique fingerprint.

  • 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