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 Continuity Discrete observation Ito process Leverage effect Pre-averaging Quarticity Realized volatility Stable convergence |
URI: | http://hdl.handle.net/2003/25867 http://dx.doi.org/10.17877/DE290R-1947 |
Issue Date: | 2008-11-26T14:28:57Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr41-Jacod.pdf | DNB | 3.84 MB | Adobe PDF | View/Open |
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