Arbeitspapier
Microstructure noise in the continuous case: the pre-averaging approach
This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility 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 n-1/4).
- Language
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Englisch
- Bibliographic citation
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Series: Technical Report ; No. 2007,41
- Subject
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consistency
continuity
discrete observation
Itô process
leverage effect
pre-averaging
quarticity
realized volatility
stable convergence
- Event
-
Geistige Schöpfung
- (who)
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Jacod, Jean
Li, Yingying
Mykland, Per A.
Podolskij, Mark
Vetter, Mathias
- Event
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Veröffentlichung
- (who)
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Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
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Dortmund
- (when)
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2007
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Jacod, Jean
- Li, Yingying
- Mykland, Per A.
- Podolskij, Mark
- Vetter, Mathias
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2007
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