Arbeitspapier
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower variation is proven. Under further assumptions we prove stable convergence of our estimates with the optimal rate n^(-1/4). Moreover, we construct estimates which are robust to finite activity jumps.
- Language
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Englisch
- Bibliographic citation
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Series: Technical Report ; No. 2006,51
- Subject
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Bipower Variation
Central Limit Theorem
Finite Activity Jumps
High-Frequency Data
Integrated Volatility
Microstructure Noise
- Event
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Geistige Schöpfung
- (who)
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Vetter, Mathias
Podolskij, Mark
- 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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2006
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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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
- Vetter, Mathias
- Podolskij, Mark
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2006
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