Autor(en): | Podolskij, Mark Vetter, Mathias |
Titel: | Bipower-type estimation in a noisy diffusion setting |
Sprache (ISO): | en |
Zusammenfassung: | 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. |
Schlagwörter: | 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 |
Erscheinungsdatum: | 2009-01-13T08:02:17Z |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 475 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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TR_24-podolkij.pdf | DNB | 422.09 kB | Adobe PDF | Öffnen/Anzeigen |
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