Asymptotic efficiency for covariance estimation under noise and asynchronicity

Abstract

The estimation of the covariance structure from a discretely observed multivariate Gaussian process under asynchronicity and noise is analysed under high-frequency asymptotics. Asymptotic lower and upper bounds are established for a general Gaussian framework which provides benchmark cases for various Gaussian process models of interest. The parametric bounds give rise to infinite-dimensional convolution theorems for covariation estimation under asynchronicity, which is an essential estimation problem in finance.