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Local Parametric Estimation in High Frequency Data

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  • Yoann Potiron
  • Per Mykland

Abstract

We give a general time-varying parameter model, where the multidimensional parameter possibly includes jumps. The quantity of interest is defined as the integrated value over time of the parameter process Θ=T−1∫0Tθt*dt . We provide a local parametric estimator (LPE) of Θ and conditions under which we can show the central limit theorem. Roughly speaking those conditions correspond to some uniform limit theory in the parametric version of the problem. The framework is restricted to the specific convergence rate n1∕2. Several examples of LPE are studied: estimation of volatility, powers of volatility, volatility when incorporating trading information and time-varying MA(1).

Suggested Citation

  • Yoann Potiron & Per Mykland, 2020. "Local Parametric Estimation in High Frequency Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 679-692, July.
    • Handle: RePEc:taf:jnlbes:v:38:y:2020:i:3:p:679-692
    DOI: 10.1080/07350015.2019.1566731
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    Cited by:

    1. Simon Clinet & Yoann Potiron, 2016. "Statistical inference for the doubly stochastic self-exciting process," Papers 1607.05831, arXiv.org, revised Jun 2017.
    2. Clinet, Simon & Potiron, Yoann, 2018. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Journal of Econometrics, Elsevier, vol. 206(1), pages 103-142.
    3. Casini, Alessandro & Perron, Pierre, 2024. "Prewhitened long-run variance estimation robust to nonstationarity," Journal of Econometrics, Elsevier, vol. 242(1).
    4. Christensen, Kim & Kolokolov, Aleksey, 2024. "An unbounded intensity model for point processes," Journal of Econometrics, Elsevier, vol. 244(1).
    5. Potiron, Yoann & Mykland, Per A., 2017. "Estimation of integrated quadratic covariation with endogenous sampling times," Journal of Econometrics, Elsevier, vol. 197(1), pages 20-41.
    6. Clinet, Simon & Potiron, Yoann, 2019. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
    7. Simon Clinet & Yoann Potiron, 2021. "Estimation for high-frequency data under parametric market microstructure noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.

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