Arbeitspapier
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a Gaussian shift experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the volatility and efficient estimators of the integrated volatility are constructed.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2011-028
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Financial Econometrics
- Thema
-
high-frequency data
integrated volatility
spot volatility estimation
Le Cam deficiency
equivalence of experiments
Gaussian shift
Finanzmarkt
Volatilität
Zeitreihenanalyse
Nichtparametrisches Verfahren
Schätztheorie
Mikrostrukturanalyse
Noise Trading
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Reiß, Markus
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Reiß, Markus
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2011
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