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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

    as
    1. Mykland, Per A. & Zhang, Lan, 2016. "Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price," Journal of Econometrics, Elsevier, vol. 194(2), pages 242-262.
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    16. Markus Bibinger & Per A. Mykland, 2016. "Inference for Multi-dimensional High-frequency Data with an Application to Conditional Independence Testing," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(4), pages 1078-1102, December.
    17. Kalnina, Ilze & Linton, Oliver, 2008. "Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error," Journal of Econometrics, Elsevier, vol. 147(1), pages 47-59, November.
    18. Per A. Mykland & Lan Zhang, 2017. "Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance," Econometrica, Econometric Society, vol. 85, pages 197-231, January.
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    Cited by:

    1. Chen, Dachuan, 2024. "High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times," Journal of Econometrics, Elsevier, vol. 240(1).
    2. Chen, Dachuan & Mykland, Per A. & Zhang, Lan, 2024. "Realized regression with asynchronous and noisy high frequency and high dimensional data," Journal of Econometrics, Elsevier, vol. 239(2).
    3. Shin, Minseok & Kim, Donggyu & Fan, Jianqing, 2023. "Adaptive robust large volatility matrix estimation based on high-frequency financial data," Journal of Econometrics, Elsevier, vol. 237(1).
    4. 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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