Authors: | Podolskij, Mark Vetter, Mathias |
Title: | Bipower-type estimation in a noisy diffusion setting |
Language (ISO): | en |
Abstract: | We consider a new class of estimators for volatility functionals in the setting of frequently observed Ito diffusions which are disturbed by i.i.d. noise. These statistics extend the approach of pre-averaging as a general method for the estimation of the integrated volatility in the presence of microstructure noise and are closely related to the original concept of bipower variation in the no-noise case. We show that this approach provides efficient estimators for a large class of integrated powers of volatility and prove the associated (stable) central limit theorems. In a more general Ito semimartingale framework this method can be used to define both estimators for the entire quadratic variation of the underlying process and jump-robust estimators which are consistent for various functionals of volatility. As a by-product we obtain a simple test for the presence of jumps in the underlying semimartingale. |
Subject Headings: | Bipower variation Central limit theorem High-frequency data Microstructure noise Quadratic variation Semimartingale theory Test for jumps |
URI: | http://hdl.handle.net/2003/25990 http://dx.doi.org/10.17877/DE290R-14128 |
Issue Date: | 2009-01-13T08:02:17Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
TR_24-podolkij.pdf | DNB | 422.09 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org