Model checks for the volatility under microstructure noise

dc.contributor.author	Dette, Holger	de
dc.contributor.author	Vetter, Mathias	de
dc.date.accessioned	2009-10-29T09:59:14Z
dc.date.available	2009-10-29T09:59:14Z
dc.date.issued	2009-07-01	de
dc.description.abstract	We consider the problem of testing the parametric form of the volatility for high frequency data. It is demonstrated that in the presence of microstructure noise commonly used tests do not keep the preassigned level and are inconsistent. The concept of preaveraging is used to construct new tests, which do not suffer from these drawbacks. These tests are based on a Kolmogorov or Cramér-von-Mises functional of an integrated stochastic process, for which weak convergence to a (conditional) Gaussian process is established. The finite sample properties of a bootstrap version of the test are illustrated by means of a simulation study.	en
dc.identifier.uri	http://hdl.handle.net/2003/26473
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-12662
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823; 1/2009	de
dc.subject	goodness-of-fit test	en
dc.subject	heteroscedasticity	en
dc.subject	microstructure noise	en
dc.subject	parametric bootstrap	en
dc.subject	stable convergence	en
dc.subject.ddc	310	de
dc.subject.ddc	330	de
dc.subject.ddc	620	de
dc.title	Model checks for the volatility under microstructure noise	en
dc.type	Text	de
dc.type.publicationtype	report	de
dcterms.accessRights	open access

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