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Large and moderate deviations of realized covolatility |
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| Institution: | 1. School of Mathematics, Georgia Institute of Technology, Atlanta, GA 30332-0160, USA;2. Department of Mathematics and Statistics, University of Minnesota–Duluth, 1117 University Drive, Duluth, MN 55812, USA;3. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON N2L3G1, Canada;1. University of St.Gallen, Bodanstrasse 6, 9000 St.Gallen, Switzerland;2. London School of Economics, Houghton Street, London WC2A 2AE, UK |
| Abstract: | In this note, we consider the large and moderate deviation principle of the estimators of the integrated covariance of two-dimensional diffusion processes when they are observed only at discrete times in a synchronous manner. The proof is extremely simple. It is essentially an application of the contraction principle for the results given in the case of the volatility by Djellout et al. (1999). |
| Keywords: | Deviation inequalities Large and moderate deviation principle Diffusion Discrete-time observation Realized volatility |
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