Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

Simple item page
dc.contributor.authorPodolskij, Mark
dc.contributor.authorVetter, Mathias
dc.date.accessioned2007-02-21T14:42:01Z
dc.date.available2007-02-21T14:42:01Z
dc.date.issued2007-02-21T14:42:01Z
dc.description.abstractWe 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.de
dc.identifier.urihttp://hdl.handle.net/2003/23298
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-7733
dc.language.isoende
dc.subjectBipower variationen
dc.subjectCentral limit theoremen
dc.subjectFinite activity jumpsen
dc.subjectHigh-frequency dataen
dc.subjectIntegrated volatilityen
dc.subjectMicrostructure noiseen
dc.subjectSemimartingale theoryen
dc.subjectSubsamplingen
dc.subject.ddc004
dc.titleEstimation of volatility functionals in the simultaneous presence of microstructure noise and jumpsen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
tr51-06.pdf
Size:
274.39 KB
Format:
Adobe Portable Document Format
Description:
DNB
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.93 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Sonderforschungsbereich (SFB) 475