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
Englisch

Bibliographic citation
Series: Technical Report ; No. 2007,41

Subject
consistency
continuity
discrete observation
Itô process
leverage effect
pre-averaging
quarticity
realized volatility
stable convergence

Event
Geistige Schöpfung
(who)
Jacod, Jean
Li, Yingying
Mykland, Per A.
Podolskij, Mark
Vetter, Mathias
Event
Veröffentlichung
(who)
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
(where)
Dortmund
(when)
2007

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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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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