Estimation of Quarticity with High Frequency Data
We propose a new methodology based on Fourier analysis to estimate the fourth power of volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove consistency of the proposed estimator of integrated quarticity. Further we analyze its efficiency in the presence of microstructure noise, both from a theoretical and empirical viewpoint. Extensions to higher powers of volatility and to the multivariate case are also discussed.
|Date of creation:||Sep 2011|
|Date of revision:||Jan 2012|
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