Real-time scheme for the volatility estimation in the presence of microstructure noise

被引：9
|
作者：
Ogawa, Shigeyoshi [1 ]
机构：
[1] Ritsumeikan Univ, Dept Math Sci, Kusatsu, Shiga 5258577, Japan
来源：
MONTE CARLO METHODS AND APPLICATIONS | 2008年 / 14卷 / 04期
关键词：
Volatility estimation; microstructure noise;
D O I：
10.1515/MCMA.2008.015
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We are concerned with the problem of estimating temporal values of the volatility in the situation that the observation of the price process is contaminated by high frequency noise due to micro structural causes of the system. For the case that there is no such noise, we have presented in the preceding article ([3]) a scheme that is simple enough but might work effectively in a real-time manner. The aim of the present note is to introduce a new scheme by making suitable modifications to the old scheme so that the new one still maintains the nice property of being a real-time estimator.
引用
收藏
页码：331 / 342
页数：12
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