Arbeitspapier

Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

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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.

Language
Englisch

Bibliographic citation
Series: SFB 649 Discussion Paper ; No. 2011-028

Classification
Wirtschaft
Semiparametric and Nonparametric Methods: General
Financial Econometrics
Subject
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

Event
Geistige Schöpfung
(who)
Reiß, Markus
Event
Veröffentlichung
(who)
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
(where)
Berlin
(when)
2011

Handle
Last update
10.03.2025, 11:42 AM CET

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Object type

  • Arbeitspapier

Associated

  • Reiß, Markus
  • Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

Time of origin

  • 2011

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