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The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times

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  • Mykland, Per A.
  • Zhang, Lan
  • Chen, Dachuan

Abstract

In this paper, we derive a new algebraic property of two scales estimation in high frequency data, under which the effect of sampling times is canceled to high order. This is a particular robustness property of the two scales construction. In general, irregular, asynchronous, or endogenous times can cause problems in estimators based on equidistant observation of (trade or quote) times.

Suggested Citation

  • Mykland, Per A. & Zhang, Lan & Chen, Dachuan, 2019. "The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times," Journal of Econometrics, Elsevier, vol. 208(1), pages 101-119.
    • Handle: RePEc:eee:econom:v:208:y:2019:i:1:p:101-119
    DOI: 10.1016/j.jeconom.2018.09.007
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    References listed on IDEAS

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    Cited by:

    1. Mykland, Per A. & Zhang, Lan, 2021. "The Observed Asymptotic Variance: Hard edges, and a regression approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 411-428.

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    More about this item

    Keywords

    Asynchronous times; Consistency; Discrete observation; Efficiency; Endogenous times; Equivalent martingale measure; Irregular times; Itô process; Leads and lags; Leverage effect; Microstructure; Pre-averaging; Realized volatility; Robust estimation; Stable convergence; Two scales estimation;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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