Laws of large numbers for Hayashi-Yoshida-type functionals

Abstract: In high-frequency statistics and econometrics sums of functionals of increments of stochastic processes are commonly used and statistical inference is based on the asymptotic behaviour of these sums as the mesh of the observation times tends to zero. Inspired by the famous Hayashi-Yoshida estimator for the quadratic covariation process based on two asynchronously observed stochastic processes we investigate similar sums based on increments of two asynchronously observed stochastic processes for general functionals. We find that our results differ from corresponding results in the setting of equidistant and synchronous observations which has been well studied in the literature. Further we observe that in the setting of asynchronous observations the asymptotic behaviour is not only determined by the nature of the functional but also depends crucially on the asymptotics of the observation scheme.