Microstructure noise in the continuous case

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dc.contributor.authorJacod, Jean
dc.contributor.authorLi, Yingying
dc.contributor.authorMykland, Per A.
dc.contributor.authorPodolskij, Mark
dc.contributor.authorVetter, Mathias
dc.date.accessioned2008-11-26T14:28:57Z
dc.date.available2008-11-26T14:28:57Z
dc.date.issued2008-11-26T14:28:57Z
dc.description.abstractThis paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility ā€“ 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 nāˆ’1/4).en
dc.identifier.urihttp://hdl.handle.net/2003/25867
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-1947
dc.language.isoende
dc.subjectConsistencyen
dc.subjectContinuityen
dc.subjectDiscrete observationen
dc.subjectIto processen
dc.subjectLeverage effecten
dc.subjectPre-averagingen
dc.subjectQuarticityen
dc.subjectRealized volatilityen
dc.subjectStable convergenceen
dc.subject.ddc004
dc.titleMicrostructure noise in the continuous caseen
dc.title.alternativethe pre-averaging approachen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access

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