Microstructure noise in the continuous case: The pre-averaging approach
AbstractThis paper presents a generalized pre-averaging approach for estimating the integrated volatility, in the presence of noise. This approach also provides consistent estimators of other powers of volatility -- in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possesses an intuitive transparency, can generate rate optimal estimators (with convergence rate n-1/4).
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 119 (2009)
Issue (Month): 7 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
Other versions of this item:
- Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2007. "Microstructure noise in the continuous case: the pre-averaging approach," Technical Reports 2007,41, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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