Large and moderate deviations of realized covolatility

Hacène Djellout (1) , Yacouba Samoura (1)

1 LMBP - Laboratoire de Mathématiques Blaise Pascal

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.

Mots clés: Deviation inequalities; Moderate deviation principle; Large deviation principle; Diffusion; Discrete-time observation; Quadratic variation; Realised volatility

Domaines: Probabilités [math.PR]

Hacène Djellout, Yacouba Samoura. Large and moderate deviations of realized covolatility. Statistics and Probability Letters, 2014, 86 (86), pp.30-37. ⟨hal-00871977⟩