Authors: Jacod, Jean
Li, Yingying
Mykland, Per A.
Podolskij, Mark
Vetter, Mathias
Title: Microstructure noise in the continuous case
Other Titles: the pre-averaging approach
Language (ISO): en
Abstract: This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility – in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possess an intuitive transparency, can generate rate optimal estimators (with convergence rate n−1/4).
Subject Headings: Consistency
Discrete observation
Ito process
Leverage effect
Realized volatility
Stable convergence
Issue Date: 2008-11-26T14:28:57Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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