TY - GEN
T1 - Estimation of correlation between latent processes
AU - Kimura, Akitoshi
AU - Yoshida, Nakahiro
N1 - Funding Information:
This work was in part supported by Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Nos. 24340015 (Scientific Research), Nos. 24650148 and 26540011 (Challenging Exploratory Research); CREST Japan Science and Technology Agency; NS Solutions Corporation; and by a Cooperative Research Program of the Institute of Statistical Mathematics.
Publisher Copyright:
© Springer International Publishing Switzerland 2016.
PY - 2016
Y1 - 2016
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
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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
T2 - Workshop on Advanced Modelling in Mathematical Finance, 2015
Y2 - 20 May 2015 through 22 May 2015
ER -