Estimation of quarticity with high-frequency data
AbstractWe propose a new methodology based on Fourier analysis to estimate the fourth power of the volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove the consistency of the proposed estimator of the integrated quarticity. Further, we analyse its efficiency in the presence of microstructure noise, from both a theoretical and empirical viewpoint. Extensions to higher powers of volatility and to the multivariate case are also discussed.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Quantitative Finance.
Volume (Year): 12 (2012)
Issue (Month): 4 (December)
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