A0389
Title: Asymptotically efficient estimation for diffusion processes with nonsynchronous observations
Authors: Teppei Ogihara - University of Tokyo (Japan) [presenting]
Abstract: The properties of a maximum-likelihood-type estimation method are investigated for nonsynchronous observations of two-dimensional diffusion processes. Nonsynchronous observation is a fundamental issue in high-frequency financial data, where the observation time of stock prices may not necessarily coincide due to trades occurring at different times. The limit where the observation time diverges to infinity is considered, and asymptotic properties are demonstrated as consistency and asymptotic normality of the estimator. Moreover, the asymptotic efficiency of the proposed method is discussed.
