Authors: Podolskij, Mark
Vetter, Mathias
Title: Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Language (ISO): en
Abstract: We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower variation is proven. Under further assumptions we prove stable convergence of our estimates with the optimal rate n^-1/4. Moreover, we construct estimates which are robust to finite activity jumps.
Subject Headings: Bipower variation
Central limit theorem
Finite activity jumps
High-frequency data
Integrated volatility
Microstructure noise
Semimartingale theory
Issue Date: 2007-02-21T14:42:01Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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