Second-order asymptotic expansion for a non-synchronous covariation estimator
In this paper, we consider the problem of estimating the covariation of two diffusion processes when observations are subject to non-synchronicity. Building on recent papers [ (2005) 359–379, (2008) 367–406], we derive second-order asymptotic expansions for the distribution of the Hayashi–Yoshida estimator in a fairly general setup including random sampling schemes and non-anticipative random drifts. The key steps leading to our results are a second-order decomposition...