Arbeitspapier
Ultra high frequency volatility estimation with dependent microstructure noise
We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach based on multiple time scales, and compare empirically our different estimators to the standard realized volatility.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2005,30
- Klassifikation
-
Wirtschaft
- Thema
-
Market microstructure
Serial dependence
High frequency data
Realized volatility
Subsampling
Two Scales Realized Volatility
Mikrostrukturanalyse
Capital Asset Pricing Model
Zeitreihenanalyse
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ait-Sahalia, Yacine
Mykland, Per A.
Zhang, Lan
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 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
- Ait-Sahalia, Yacine
- Mykland, Per A.
- Zhang, Lan
- Deutsche Bundesbank
Entstanden
- 2005
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